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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0016	0.92
αARCH	0.0751	7.25***
βGARCH	0.9959	860.01***
γleverage	0.0095	1.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0016	0.92
α ARCH Response to squared shocks	0.0751	7.25***
β GARCH Volatility persistence	0.9959	860.01***
γ leverage Additional response to negative shocks	0.0095	1.04

V-Lab

Romanian Leu EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses