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

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:6.82% (-0.11%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9086	6.85
$α$	0.0298	6.52
$β$	0.9628	163.93
$γ_{1}$	-0.0229	-4.03
$γ_{2}$	0.0342	4.06
$γ_{3}$	-0.0130	-2.98

Estimation Period:
Jan 1, 2002 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts