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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0006	2.69***
αARCH	0.0322	8.46***
βGARCH	0.9657	249.22***
γleverage	-0.0237	-0.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	2.69***
α ARCH Response to squared shocks	0.0322	8.46***
β GARCH Volatility persistence	0.9657	249.22***
γ leverage Additional response to negative shocks	-0.0237	-0.53

V-Lab

Romanian Leu AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses