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, December 4th, 2023:6.44% (-0.08%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5205	2.98
$α$	0.0346	5.71
$β$	0.9429	98.04
$γ_{1}$	-0.0727	-1.23
$γ_{2}$	0.1442	1.76
$γ_{3}$	-0.1092	-2.44
$γ_{4}$	0.0379	1.08
$γ_{5}$	0.0394	1.47
$γ_{6}$	-0.1137	-4.74
$γ_{7}$	0.1324	5.18
$γ_{8}$	-0.0882	-2.98
$γ_{9}$	0.0812	2.64
$γ_{10}$	-0.0849	-3.79

Estimation Period:
Jan 3, 1990 to Dec 1, 2023

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Volatility Forecasts

Volatility Forecasts