V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:4.44% (-0.07%)

Analysis last updated: Friday, June 20, 2025 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5247	3.03
$α$	0.0345	5.94
$β$	0.9438	103.96
$γ_{1}$	-0.0727	-1.40
$γ_{2}$	0.1477	2.05
$γ_{3}$	-0.1252	-3.21
$γ_{4}$	0.0714	2.18
$γ_{5}$	-0.0063	-0.23
$γ_{6}$	-0.0729	-3.07
$γ_{7}$	0.1175	4.87
$γ_{8}$	-0.0920	-3.82
$γ_{9}$	0.0957	3.40
$γ_{10}$	-0.1788	-3.65

Estimation Period:
Jan 3, 1990 to Jun 20, 2025

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Volatility Forecasts

Volatility Forecasts