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, January 30th, 2023:7.17% (+0.02%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8701	6.41
$α$	0.0309	6.40
$β$	0.9610	150.99
$γ_{1}$	-0.0288	-4.13
$γ_{2}$	0.0407	4.09
$γ_{3}$	-0.0124	-2.51

Estimation Period:
Jan 1, 2002 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts