V-Lab: Romanian Leu APARCH Volatility Analysis

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V-Lab

Romanian Leu APARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:5.91% (-0.06%)

Analysis last updated: Friday, September 22, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	8.34
$α$	0.0315	23.56
$β$	0.9685	912.84
$γ$	-0.0420	-2.76
$δ$	1.8665	31.21

Estimation Period:
Jan 1, 2002 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts