V-Lab: Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

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Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 14th, 2025:5.62% (-0.07%)

Analysis last updated: Monday, October 13, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7890	3.60
$α$	0.0352	6.39
$β$	0.9463	118.87
$γ_{1}$	-0.0286	-0.75
$γ_{2}$	0.0749	1.39
$γ_{3}$	-0.0884	-3.14
$γ_{4}$	0.0862	3.71
$γ_{5}$	-0.0942	-4.25
$γ_{6}$	0.0792	3.88
$γ_{7}$	-0.0320	-1.50
$γ_{8}$	0.0203	0.97
$γ_{9}$	-0.0330	-2.36

Estimation Period:
Jan 3, 1990 to Oct 10, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts