V-Lab
Romanian Leu GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
4.72%
decreased by 0.09%
1 Week
4.74%
decreased by 0.07%
1 Month
4.83%
increased by 0.02%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Sep 25, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.14 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
High persistence: persistence 0.999, shock half-life ~693 daysv = 3.14 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5137 | 2.65*** |
| αARCH | 0.0233 | 16.78*** |
| βGARCH | 0.9990 | 2,887.28*** |
| νDF | 3.1355 | 36.60*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5137 | 2.65*** |
α ARCH Response to squared shocks | 0.0233 | 16.78*** |
β GARCH Volatility persistence | 0.9990 | 2,887.28*** |
ν DF Student-t tail thickness | 3.1355 | 36.60*** |
Persistence:
0.999
Half-life:
693 days
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