V-Lab: Russian Ruble AGARCH Volatility Analysis

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V-Lab

Russian Ruble AGARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:13.63% (-0.54%)

Analysis last updated: Sunday, December 3, 2023 at 02:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0015	6.55
$α$	0.0790	36.73
$β$	0.9216	432.67
$γ$	-0.1135	-10.12

Estimation Period:
Jan 1, 2000 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts