V-Lab: Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:9.61% (-0.23%)

Analysis last updated: Sunday, April 28, 2024 at 02:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7599	3.02
$α$	0.1076	8.69
$β$	0.8597	60.52
$γ_{1}$	-0.2309	-1.55
$γ_{2}$	0.4191	2.00
$γ_{3}$	-0.2308	-2.25
$γ_{4}$	0.0346	0.39
$γ_{5}$	-0.0746	-1.04
$γ_{6}$	0.2417	4.58
$γ_{7}$	-0.2808	-3.98
$γ_{8}$	0.1359	1.44
$γ_{9}$	0.0416	0.50
$γ_{10}$	-0.0935	-1.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts