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

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V-Lab

Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:5.76% (+0.21%)

Analysis last updated: Friday, July 26, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5718	3.06
$α$	0.0354	5.90
$β$	0.9426	100.28
$γ_{1}$	-0.0654	-1.17
$γ_{2}$	0.1340	1.71
$γ_{3}$	-0.1086	-2.52
$γ_{4}$	0.0480	1.38
$γ_{5}$	0.0213	0.79
$γ_{6}$	-0.0960	-4.12
$γ_{7}$	0.1238	5.25
$γ_{8}$	-0.0835	-3.28
$γ_{9}$	0.0690	2.63
$γ_{10}$	-0.0712	-3.80

Estimation Period:
Jan 3, 1990 to Jul 26, 2024

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