V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:10.88% (+0.11%)

Analysis last updated: Friday, September 22, 2023 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4200	2.80
$α$	0.0341	5.55
$β$	0.9425	94.58
$γ_{1}$	-0.0917	-1.51
$γ_{2}$	0.1752	2.10
$γ_{3}$	-0.1286	-2.91
$γ_{4}$	0.0466	1.36
$γ_{5}$	0.0421	1.60
$γ_{6}$	-0.1204	-5.01
$γ_{7}$	0.1318	5.04
$γ_{8}$	-0.0728	-2.34
$γ_{9}$	0.0391	1.17
$γ_{10}$	0.0415	1.04

Estimation Period:
Jan 3, 1990 to Sep 22, 2023

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Volatility Forecasts

Volatility Forecasts