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

V-Lab

Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:6.18% (-0.08%)

Analysis last updated: Friday, May 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5672	2.97
$α$	0.0349	6.12
$β$	0.9450	110.61
$γ_{1}$	-0.0638	-1.18
$γ_{2}$	0.1305	1.73
$γ_{3}$	-0.1099	-2.66
$γ_{4}$	0.0610	1.76
$γ_{5}$	-0.0042	-0.15
$γ_{6}$	-0.0667	-2.67
$γ_{7}$	0.1043	4.12
$γ_{8}$	-0.0694	-2.80
$γ_{9}$	0.0469	1.94
$γ_{10}$	-0.0511	-2.97

Estimation Period:
Jan 3, 1990 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts