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 Friday, June 2nd, 2023:6.18% (-0.09%)

Analysis last updated: Thursday, June 1, 2023 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8703	6.41
$α$	0.0302	6.42
$β$	0.9621	155.70
$γ_{1}$	-0.0282	-4.12
$γ_{2}$	0.0401	4.08
$γ_{3}$	-0.0128	-2.59

Estimation Period:
Jan 1, 2002 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts