V-Lab: Romanian Leu GJR-GARCH Volatility Analysis

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V-Lab

Romanian Leu GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.71% (+0.03%)

Analysis last updated: Sunday, January 29, 2023, 01:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	10.25
$α$	0.0328	17.74
$β$	0.9678	910.40
$γ$	-0.0044	-1.42

Estimation Period:
Jan 1, 2002 to Jan 28, 2023

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