V-Lab: Russian Ruble AGARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble AGARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:6.75% (-0.10%)

Analysis last updated: Friday, April 26, 2024 at 07:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0016	6.89
$α$	0.0796	36.97
$β$	0.9208	432.29
$γ$	-0.1131	-10.18

Estimation Period:
Jan 1, 2000 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts