V-Lab: Romanian Leu AGARCH Volatility Analysis

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V-Lab

Romanian Leu AGARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:11.51% (+5.50%)

Analysis last updated: Tuesday, October 3, 2023 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	9.66
$α$	0.0316	32.50
$β$	0.9666	985.37
$γ$	-0.0270	-2.25

Estimation Period:
Jan 1, 2002 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts