V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:5.91% (-0.09%)

Analysis last updated: Tuesday, September 17, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4812	2.91
$α$	0.0351	5.83
$β$	0.9419	98.41
$γ_{1}$	-0.0807	-1.45
$γ_{2}$	0.1599	2.08
$γ_{3}$	-0.1280	-3.11
$γ_{4}$	0.0616	1.85
$γ_{5}$	0.0163	0.62
$γ_{6}$	-0.0995	-4.40
$γ_{7}$	0.1347	5.89
$γ_{8}$	-0.1018	-4.02
$γ_{9}$	0.1023	3.30
$γ_{10}$	-0.1433	-3.23

Estimation Period:
Jan 3, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts