V-Lab: Romanian Leu Spline-GARCH Volatility Analysis

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V-Lab

Romanian Leu Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:6.69% (-0.10%)

Analysis last updated: Wednesday, October 4, 2023 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8754	6.51
$α$	0.0299	6.42
$β$	0.9624	156.76
$γ_{1}$	-0.0272	-4.08
$γ_{2}$	0.0390	3.85
$γ_{3}$	-0.0126	-1.09

Estimation Period:
Jan 1, 2002 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts