Romanian Leu GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
5.34%
decreased by 0.11%
1 Week
5.36%
decreased by 0.09%
1 Month
5.43%
decreased by 0.02%
Analysis last updated: Sunday, October 18, 2026 at 03:19 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Oct 16, 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 = 3.12 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 = 3.12 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5182 | 2.67*** |
| αARCH | 0.0232 | 16.80*** |
| βGARCH | 0.9990 | 2,904.07*** |
| νDF | 3.1200 | 37.24*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5182 | 2.67*** |
α ARCH Response to squared shocks | 0.0232 | 16.80*** |
β GARCH Volatility persistence | 0.9990 | 2,904.07*** |
ν DF Student-t tail thickness | 3.1200 | 37.24*** |
Persistence:
0.999
Half-life:
693 days
Other Romanian Leu Analyses
Other GAS-GARCH Student T Analyses on Currencies