V-Lab: Romanian Leu GJR-GARCH Volatility Analysis

V-Lab

Romanian Leu GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, July 14th, 2025:6.76% (+0.06%)

Analysis last updated: Friday, July 11, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	11.26
$α$	0.0319	18.21
$β$	0.9679	937.92
$γ$	-0.0034	-1.12

Estimation Period:
Jan 1, 2002 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts