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 Tuesday, January 14th, 2025:6.00% (-0.07%)

Analysis last updated: Monday, January 13, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6317	3.17
$α$	0.0353	6.09
$β$	0.9442	107.52
$γ_{1}$	-0.0600	-1.11
$γ_{2}$	0.1265	1.67
$γ_{3}$	-0.1082	-2.56
$γ_{4}$	0.0555	1.59
$γ_{5}$	0.0066	0.24
$γ_{6}$	-0.0800	-3.31
$γ_{7}$	0.1137	4.68
$γ_{8}$	-0.0761	-3.07
$γ_{9}$	0.0563	2.26
$γ_{10}$	-0.0589	-3.32

Estimation Period:
Jan 3, 1990 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts