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

V-Lab

| |

V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 23rd, 2024:8.37% (-0.05%)

Analysis last updated: Monday, April 22, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7585	3.02
$α$	0.1078	8.68
$β$	0.8593	60.09
$γ_{1}$	-0.2317	-1.56
$γ_{2}$	0.4205	2.01
$γ_{3}$	-0.2318	-2.26
$γ_{4}$	0.0359	0.41
$γ_{5}$	-0.0768	-1.07
$γ_{6}$	0.2440	4.61
$γ_{7}$	-0.2811	-3.95
$γ_{8}$	0.1336	1.42
$γ_{9}$	0.0455	0.55
$γ_{10}$	-0.0964	-2.00

Estimation Period:
Jan 1, 2000 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts