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

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:10.58% (0.00%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8989	6.63
$α$	0.0297	6.55
$β$	0.9634	166.48
$γ_{1}$	-0.0237	-3.98
$γ_{2}$	0.0353	4.01
$γ_{3}$	-0.0134	-2.95

Estimation Period:
Jan 1, 2002 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts