V-Lab: Russian Ruble AGARCH Volatility Analysis

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V-Lab

Russian Ruble AGARCH Volatility Analysis

Volatility Prediction for Tuesday, September 17th, 2024:17.77% (-0.40%)

Analysis last updated: Monday, September 16, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0017	7.65
$α$	0.0830	37.87
$β$	0.9180	427.78
$γ$	-0.1090	-10.01

Estimation Period:
Jan 1, 2000 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts