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

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:7.00% (-0.10%)

Analysis last updated: Friday, August 29, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9107	6.91
$α$	0.0296	6.53
$β$	0.9630	165.80
$γ_{1}$	-0.0226	-4.05
$γ_{2}$	0.0340	4.08
$γ_{3}$	-0.0132	-3.05

Estimation Period:
Jan 1, 2002 to Aug 29, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts