V-Lab
Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, September 25th, 2026
1 Day
6.58%
unchanged at 0.00%
1 Week
6.56%
decreased by 0.02%
1 Month
6.52%
decreased by 0.06%
Analysis last updated: Thursday, September 24, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 18, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 40 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.8585 | 3.72*** |
| αARCH | 0.0349 | 6.60*** |
| βGARCH | 0.9479 | 127.86*** |
Spline Coefficients
K=9
| γ1 | -0.0212 | -0.59 |
| γ2 | 0.0609 | 1.19 |
| γ3 | -0.0753 | -2.82*** |
| γ4 | 0.0745 | 3.55*** |
| γ5 | -0.0876 | -4.34*** |
| γ6 | 0.0794 | 4.13*** |
| γ7 | -0.0285 | -1.48 |
| γ8 | 0.0007 | 0.04 |
| γ9 | -0.0100 | -0.77 |
0.983
Persistence40d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8585 | 3.72*** |
α ARCH Response to squared shocks | 0.0349 | 6.60*** |
β GARCH Volatility persistence | 0.9479 | 127.86*** |
Spline Coefficients
K=9
| γ1 | -0.0212 | -0.59 |
| γ2 | 0.0609 | 1.19 |
| γ3 | -0.0753 | -2.82*** |
| γ4 | 0.0745 | 3.55*** |
| γ5 | -0.0876 | -4.34*** |
| γ6 | 0.0794 | 4.13*** |
| γ7 | -0.0285 | -1.48 |
| γ8 | 0.0007 | 0.04 |
| γ9 | -0.0100 | -0.77 |
Persistence:
0.983
Half-life:
40 days
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