V-Lab
V-Lab

Moroccan Dirham Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, June 2nd, 2023:7.94% (-0.01%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Moroccan Dirham S0GARCH
paramt-stat
ω1.52392.89
α0.03445.85
β0.9455105.82
γ1-0.0822-1.30
γ20.15861.80
γ3-0.1134-2.33
γ40.03220.86
γ50.05001.72
γ6-0.1185-4.25
γ70.12233.89
γ8-0.0677-1.84
γ90.05731.61
γ10-0.0641-2.63
Estimation Period:
Jan 3, 1990 to May 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts