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 23rd, 2024:6.13% (-0.08%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8984	6.85
$α$	0.0288	6.56
$β$	0.9636	165.40
$γ_{1}$	-0.0238	-4.08
$γ_{2}$	0.0348	4.06
$γ_{3}$	-0.0122	-2.77

Estimation Period:
Jan 1, 2002 to Dec 20, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts