V-Lab: Romanian Leu GJR-GARCH Volatility Analysis

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V-Lab

Romanian Leu GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:6.55% (-0.09%)

Analysis last updated: Thursday, June 1, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	10.24
$α$	0.0323	17.74
$β$	0.9683	923.91
$γ$	-0.0044	-1.45

Estimation Period:
Jan 1, 2002 to May 27, 2023

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