V-Lab
Romanian Leu GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
4.64%
1 Week
4.66%
1 Month
4.75%
Analysis last updated: Tuesday, September 8, 2026 at 07:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Sep 4, 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 = 3.15 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5134 | 2.66*** |
| αARCH | 0.0232 | 16.69*** |
| βGARCH | 0.9990 | 2,895.65*** |
| νDF | 3.1455 | 36.03*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5134 | 2.66*** |
α ARCH Response to squared shocks | 0.0232 | 16.69*** |
β GARCH Volatility persistence | 0.9990 | 2,895.65*** |
ν DF Student-t tail thickness | 3.1455 | 36.03*** |
Persistence:
0.999
Half-life:
693 days
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