V-Lab
Romanian Leu Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
4.50%
decreased by 0.06%
1 Week
4.54%
decreased by 0.02%
1 Month
4.68%
increased by 0.12%
Analysis last updated: Sunday, September 20, 2026 at 04:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Sep 18, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 91 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 0.992, shock half-life ~91 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9511 | 7.22*** |
| αARCH | 0.0306 | 6.84*** |
| βGARCH | 0.9618 | 166.78*** |
Spline Coefficients
K=3
| γ1 | -0.0191 | -3.76*** |
| γ2 | 0.0288 | 3.75*** |
| γ3 | -0.0109 | -2.71*** |
0.992
Persistence91d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9511 | 7.22*** |
α ARCH Response to squared shocks | 0.0306 | 6.84*** |
β GARCH Volatility persistence | 0.9618 | 166.78*** |
Spline Coefficients
K=3
| γ1 | -0.0191 | -3.76*** |
| γ2 | 0.0288 | 3.75*** |
| γ3 | -0.0109 | -2.71*** |
Persistence:
0.992
Half-life:
91 days
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