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, January 30th, 2023:6.99% (+0.07%)

Analysis last updated: Friday, January 27, 2023, 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5050	2.80
$α$	0.0347	5.80
$β$	0.9454	105.44
$γ_{1}$	-0.0871	-1.32
$γ_{2}$	0.1656	1.80
$γ_{3}$	-0.1151	-2.31
$γ_{4}$	0.0294	0.78
$γ_{5}$	0.0538	1.82
$γ_{6}$	-0.1167	-3.90
$γ_{7}$	0.1097	3.17
$γ_{8}$	-0.0467	-1.16
$γ_{9}$	0.0318	0.86
$γ_{10}$	-0.0420	-1.72

Estimation Period:
Jan 3, 1990 to Jan 27, 2023

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Volatility Forecasts

Volatility Forecasts