Romanian Leu GARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
5.01%
unchanged at 0.00%
1 Week
5.03%
increased by 0.02%
1 Month
5.12%
increased by 0.11%
Analysis last updated: Tuesday, July 21, 2026 at 07:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Jul 17, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 335 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0007 | 11.59*** |
α ARCH Response to squared shocks | 0.0312 | 31.35*** |
β GARCH Volatility persistence | 0.9668 | 943.19*** |
Persistence:
0.998
Half-life:
335 days
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