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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0006	2.84***
αARCH	0.0324	4.63***
βGARCH	0.9671	237.56***
γleverage	-0.0031	-0.25

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0006	2.84***
α ARCH Response to squared shocks	0.0324	4.63***
β GARCH Volatility persistence	0.9671	237.56***
γ leverage Additional response to negative shocks	-0.0031	-0.25

V-Lab

Romanian Leu GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses