V-Lab: Romanian Leu GJR-GARCH Volatility Analysis

V-Lab

Romanian Leu GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:7.26% (-0.10%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	11.25
$α$	0.0315	18.11
$β$	0.9683	941.00
$γ$	-0.0032	-1.08

Estimation Period:
Jan 1, 2002 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts