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

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, August 1st, 2025:7.26% (+0.41%)

Analysis last updated: Thursday, July 31, 2025 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9185	6.99
$α$	0.0304	6.63
$β$	0.9617	163.39
$γ_{1}$	-0.0223	-4.03
$γ_{2}$	0.0334	4.05
$γ_{3}$	-0.0126	-2.95

Estimation Period:
Jan 1, 2002 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts