V-Lab: Romanian Leu MF2-GARCH Volatility Analysis

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Romanian Leu MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:0.00% (-6.81%)

Analysis last updated: Friday, September 22, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.0750	750100.00
$γ$	-0.1500	-1500000.00
$λ_{1}$	0.1866	1130.78
$λ_{2}$	0.3000	321.89
$λ_{3}$	0.0000	100.00

Estimation Period:
Jan 3, 1990 to Sep 22, 2023

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