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{name} Model Equation

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Param	Value	t-stat
mwindow	36
αARCH	0.1323	5.45***
βGARCH	0.1226	1.42
γleverage	-0.0286	-0.98
λ₁tau intercept	0.0212	4.00***
λ₂forecast adj.	1.0000	21.47***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1323	5.45***
β GARCH Volatility persistence	0.1226	1.42
γ leverage Additional response to negative shocks	-0.0286	-0.98
λ₁ tau intercept Baseline long-term coefficient	0.0212	4.00***
λ₂ forecast adj. Forecast performance sensitivity	1.0000	21.47***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Romanian Leu MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses