V-Lab
V-Lab

Russian Ruble Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, March 29th, 2024:9.39% (-0.10%)

Analysis last updated: Thursday, March 28, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Russian Ruble SGARCH
paramt-stat
ω0.70852.97
α0.10788.47
β0.857256.78
γ1-0.2543-1.74
γ20.45932.24
γ3-0.2643-2.65
γ40.06720.78
γ5-0.1039-1.47
γ60.26174.94
γ7-0.2834-3.89
γ80.11211.15
γ90.10911.13
γ10-0.2345-2.12
Estimation Period:
Jan 1, 2000 to Mar 22, 2024
Impact of return on volatility tomorrow
Volatility Forecasts