V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:8.26% (-0.04%)

Analysis last updated: Friday, April 19, 2024 at 07:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4926	2.89
$α$	0.0354	5.87
$β$	0.9422	99.60
$γ_{1}$	-0.0841	-1.45
$γ_{2}$	0.1655	2.06
$γ_{3}$	-0.1292	-2.97
$γ_{4}$	0.0562	1.62
$γ_{5}$	0.0266	0.98
$γ_{6}$	-0.1092	-4.68
$γ_{7}$	0.1366	5.67
$γ_{8}$	-0.0949	-3.43
$γ_{9}$	0.0830	2.57
$γ_{10}$	-0.0793	-2.02

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts