V-Lab: Romanian Leu MF2-GARCH Volatility Analysis

V-Lab

Romanian Leu MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:6.75% (-19.03%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	1.0000	9,999,900.00
$β$	0.1643	1,642,600.00
$γ$	-0.3285	-3,285,000.00
$λ_{1}$	0.7596	4,548.34
$λ_{2}$	0.2763	5,024.05
$λ_{3}$	0.0352	3,518.60

Estimation Period:
Jan 3, 1990 to May 9, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts