V-Lab
Moroccan Dirham Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
6.01%
decreased by 0.04%
1 Week
5.95%
decreased by 0.10%
1 Month
5.76%
decreased by 0.29%
Analysis last updated: Friday, September 18, 2026 at 08:03 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 3, 1990 to Sep 18, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 36 trading days.
τ
Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7438 | 3.58*** |
| αARCH | 0.0348 | 6.38*** |
| βGARCH | 0.9460 | 117.26*** |
Spline Coefficients
K=9
| γ1 | -0.0312 | -0.89 |
| γ2 | 0.0781 | 1.58 |
| γ3 | -0.0898 | -3.56*** |
| γ4 | 0.0888 | 4.48*** |
| γ5 | -0.1011 | -5.31*** |
| γ6 | 0.0922 | 5.08*** |
| γ7 | -0.0432 | -2.35** |
| γ8 | 0.0285 | 1.39 |
| γ9 | -0.0835 | -2.69*** |
0.981
Persistence36d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7438 | 3.58*** |
α ARCH Response to squared shocks | 0.0348 | 6.38*** |
β GARCH Volatility persistence | 0.9460 | 117.26*** |
Spline Coefficients
K=9
| γ1 | -0.0312 | -0.89 |
| γ2 | 0.0781 | 1.58 |
| γ3 | -0.0898 | -3.56*** |
| γ4 | 0.0888 | 4.48*** |
| γ5 | -0.1011 | -5.31*** |
| γ6 | 0.0922 | 5.08*** |
| γ7 | -0.0432 | -2.35** |
| γ8 | 0.0285 | 1.39 |
| γ9 | -0.0835 | -2.69*** |
Persistence:
0.981
Half-life:
36 days
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