V-Lab: Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:4.80% (-0.01%)

Analysis last updated: Tuesday, September 17, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8937	6.77
$α$	0.0290	6.52
$β$	0.9635	163.89
$γ_{1}$	-0.0243	-4.05
$γ_{2}$	0.0352	4.00
$γ_{3}$	-0.0118	-2.62

Estimation Period:
Jan 1, 2002 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts