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 23rd, 2024:6.34% (+0.50%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5853	3.07
$α$	0.0350	6.01
$β$	0.9441	106.05
$γ_{1}$	-0.0628	-1.15
$γ_{2}$	0.1296	1.70
$γ_{3}$	-0.1079	-2.56
$γ_{4}$	0.0535	1.55
$γ_{5}$	0.0095	0.34
$γ_{6}$	-0.0823	-3.45
$γ_{7}$	0.1148	4.79
$γ_{8}$	-0.0767	-3.12
$γ_{9}$	0.0573	2.31
$γ_{10}$	-0.0600	-3.39

Estimation Period:
Jan 3, 1990 to Dec 20, 2024

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