V-Lab: Romanian Leu GJR-GARCH Volatility Analysis

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V-Lab

Romanian Leu GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:5.55% (-0.07%)

Analysis last updated: Tuesday, April 23, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	10.14
$α$	0.0319	18.03
$β$	0.9688	953.54
$γ$	-0.0049	-1.65

Estimation Period:
Jan 1, 2002 to Apr 19, 2024

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