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 Wednesday, February 5th, 2025:7.82% (+1.18%)

Analysis last updated: Tuesday, February 4, 2025 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5922	3.06
$α$	0.0350	6.07
$β$	0.9447	108.68
$γ_{1}$	-0.0636	-1.16
$γ_{2}$	0.1318	1.72
$γ_{3}$	-0.1110	-2.62
$γ_{4}$	0.0571	1.64
$γ_{5}$	0.0053	0.19
$γ_{6}$	-0.0788	-3.23
$γ_{7}$	0.1135	4.61
$γ_{8}$	-0.0759	-3.03
$γ_{9}$	0.0544	2.18
$γ_{10}$	-0.0567	-3.20

Estimation Period:
Jan 3, 1990 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts