Romanian Leu GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
5.61%
1 Week
5.63%
1 Month
5.69%
Analysis last updated: Sunday, November 8, 2026 at 02:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Nov 6, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 565 trading days (~2.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.78 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.4817 | 2.01** |
| αscore | 0.0315 | 15.22*** |
| βpersistence | 0.9988 | 1,796.36*** |
| νDF | 4.7752 | 8.46*** |
0.999
Persistence565d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.4817 | 2.01** |
α score Weight on the scaled score | 0.0315 | 15.22*** |
β persistence Volatility persistence | 0.9988 | 1,796.36*** |
ν DF Student-t tail thickness | 4.7752 | 8.46*** |
Persistence:
0.999
Half-life:
565 days
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