Russian Ruble GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, June 17th, 2026
1 Day
11.23%
decreased by 0.30%
1 Week
11.28%
decreased by 0.25%
1 Month
11.49%
decreased by 0.04%
Analysis last updated: Tuesday, June 16, 2026 at 08:25 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0023 | 16.95 | |
| 0.0924 | 21.63 | |
| 0.9256 | 460.95 | |
| -0.0360 | -6.39 |
Estimation Period:
Jan 1, 2000 to Jun 12, 2026
Jan 1, 2000 to Jun 12, 2026
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