V-Lab
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 ·

All

graph of Moroccan Dirham S0GARCH
paramt-stat
ω1.52052.98
α0.03465.71
β0.942998.04
γ1-0.0727-1.23
γ20.14421.76
γ3-0.1092-2.44
γ40.03791.08
γ50.03941.47
γ6-0.1137-4.74
γ70.13245.18
γ8-0.0882-2.98
γ90.08122.64
γ10-0.0849-3.79
Estimation Period:
Jan 3, 1990 to Dec 1, 2023
Impact of return on volatility tomorrow
Volatility Forecasts