V-Lab: Romanian Leu GARCH Volatility Analysis

V-Lab

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V-Lab

Romanian Leu GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 12th, 2021:5.83% (-0.13%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0011	8.45
$α$	0.0515	31.47
$β$	0.9477	575.73

Estimation Period:
Jan 1, 2002 to May 7, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts