V-Lab
Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
5.04%
decreased by 0.08%
1 Week
5.08%
decreased by 0.04%
1 Month
5.20%
increased by 0.08%
Analysis last updated: Monday, September 7, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 4, 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 43 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 | 1.7257 | 3.22*** |
| αARCH | 0.0346 | 6.71*** |
| βGARCH | 0.9493 | 133.64*** |
Spline Coefficients
K=10
| γ1 | -0.0512 | -1.03 |
| γ2 | 0.1116 | 1.59 |
| γ3 | -0.1031 | -2.61*** |
| γ4 | 0.0697 | 2.02** |
| γ5 | -0.0359 | -1.16 |
| γ6 | -0.0158 | -0.54 |
| γ7 | 0.0564 | 1.77* |
| γ8 | -0.0281 | -0.97 |
| γ9 | -0.0084 | -0.34 |
| γ10 | 0.0010 | 0.06 |
0.984
Persistence43d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7257 | 3.22*** |
α ARCH Response to squared shocks | 0.0346 | 6.71*** |
β GARCH Volatility persistence | 0.9493 | 133.64*** |
Spline Coefficients
K=10
| γ1 | -0.0512 | -1.03 |
| γ2 | 0.1116 | 1.59 |
| γ3 | -0.1031 | -2.61*** |
| γ4 | 0.0697 | 2.02** |
| γ5 | -0.0359 | -1.16 |
| γ6 | -0.0158 | -0.54 |
| γ7 | 0.0564 | 1.77* |
| γ8 | -0.0281 | -0.97 |
| γ9 | -0.0084 | -0.34 |
| γ10 | 0.0010 | 0.06 |
Persistence:
0.984
Half-life:
43 days
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