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 Friday, October 11th, 2024:6.07% (-0.04%)

Analysis last updated: Thursday, October 10, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5961	3.13
$α$	0.0353	5.93
$β$	0.9429	101.42
$γ_{1}$	-0.0618	-1.13
$γ_{2}$	0.1288	1.68
$γ_{3}$	-0.1077	-2.55
$γ_{4}$	0.0513	1.49
$γ_{5}$	0.0147	0.54
$γ_{6}$	-0.0890	-3.82
$γ_{7}$	0.1199	5.11
$γ_{8}$	-0.0817	-3.30
$γ_{9}$	0.0671	2.64
$γ_{10}$	-0.0701	-3.83

Estimation Period:
Jan 3, 1990 to Oct 4, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts