Romanian Leu Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
6.56%
decreased by 0.09%
1 Week
6.57%
decreased by 0.08%
1 Month
6.58%
decreased by 0.07%
Analysis last updated: Sunday, October 11, 2026 at 01:46 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2002 to Oct 9, 2026Model Insight
With persistence 0.992, volatility shocks have a half-life of 84 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.992, shock half-life ~84 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9539 | 7.42*** |
| αARCH | 0.0305 | 6.78*** |
| βGARCH | 0.9613 | 161.56*** |
Spline Coefficients
K=3
| γ1 | -0.0193 | -3.96*** |
| γ2 | 0.0296 | 4.00*** |
| γ3 | -0.0121 | -3.03*** |
0.992
Persistence84d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9539 | 7.42*** |
α ARCH Response to squared shocks | 0.0305 | 6.78*** |
β GARCH Volatility persistence | 0.9613 | 161.56*** |
Spline Coefficients
K=3
| γ1 | -0.0193 | -3.96*** |
| γ2 | 0.0296 | 4.00*** |
| γ3 | -0.0121 | -3.03*** |
Persistence:
0.992
Half-life:
84 days
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