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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0007	2.71***
αARCH	0.0322	8.45***
βGARCH	0.9657	248.83***
γleverage	-0.0220	-0.49

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0007	2.71***
α ARCH Response to squared shocks	0.0322	8.45***
β GARCH Volatility persistence	0.9657	248.83***
γ leverage Additional response to negative shocks	-0.0220	-0.49

V-Lab

Romanian Leu AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses