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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9479	7.23***
α ARCH Response to squared shocks	0.0305	6.81***
β GARCH Volatility persistence	0.9618	166.21***

γ₁	-0.0194	-3.82***
γ₂	0.0294	3.82***
γ₃	-0.0113	-2.81***

V-Lab

Romanian Leu Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Romanian Leu Analyses