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

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V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:6.40% (-0.09%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8740	6.54
$α$	0.0293	6.45
$β$	0.9631	160.57
$γ_{1}$	-0.0270	-4.17
$γ_{2}$	0.0392	4.16
$γ_{3}$	-0.0134	-2.81

Estimation Period:
Jan 1, 2002 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts