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

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:10.54% (-0.18%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9010	6.67
$α$	0.0298	6.50
$β$	0.9631	164.38
$γ_{1}$	-0.0237	-4.01
$γ_{2}$	0.0353	4.03
$γ_{3}$	-0.0133	-2.95

Estimation Period:
Jan 1, 2002 to Apr 18, 2025

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Volatility Forecasts

Volatility Forecasts