V-Lab: Moroccan Dirham Spline-GARCH Volatility Analysis

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V-Lab

Moroccan Dirham Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:5.12% (+0.24%)

Analysis last updated: Friday, July 26, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5020	2.93
$α$	0.0354	5.90
$β$	0.9420	99.45
$γ_{1}$	-0.0819	-1.45
$γ_{2}$	0.1627	2.08
$γ_{3}$	-0.1300	-3.07
$γ_{4}$	0.0608	1.78
$γ_{5}$	0.0194	0.72
$γ_{6}$	-0.1030	-4.48
$γ_{7}$	0.1361	5.83
$γ_{8}$	-0.1017	-3.88
$γ_{9}$	0.1012	3.20
$γ_{10}$	-0.1399	-3.44

Estimation Period:
Jan 3, 1990 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts