V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:8.68% (+0.04%)

Analysis last updated: Friday, January 27, 2023, 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6705	3.63
$α$	0.0344	5.66
$β$	0.9440	100.68
$γ_{1}$	-0.0305	-0.90
$γ_{2}$	0.0766	1.62
$γ_{3}$	-0.0890	-3.76
$γ_{4}$	0.0896	4.84
$γ_{5}$	-0.1040	-5.86
$γ_{6}$	0.1001	5.84
$γ_{7}$	-0.0629	-3.46
$γ_{8}$	0.0907	3.17

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts