V-Lab: Romanian Leu MF2-GARCH Volatility Analysis

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Romanian Leu MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:0.00% (-9.32%)

Analysis last updated: Friday, January 27, 2023, 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.9115	9115420.00
$β$	0.0002	2220.00
$γ$	0.1765	1764730.00
$λ_{1}$	0.1030	1029970.00
$λ_{2}$	0.0225	224780.00
$λ_{3}$	0.2790	2790430.00

Estimation Period:
Jan 3, 1990 to Jan 27, 2023

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