V-Lab
Russian Ruble AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, October 5th, 2026
1 Day
8.01%
1 Week
8.10%
1 Month
8.46%
Analysis last updated: Sunday, October 4, 2026 at 01:41 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Oct 2, 2026Model Insight
Estimated persistence of 1.001 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: positive returns raise volatility more
AGARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0015 | 1.61 |
| αARCH | 0.0807 | 9.92*** |
| βGARCH | 0.9208 | 118.25*** |
| γleverage | -0.1179 | -2.71*** |
1.001
Persistence-
Half-lifeAGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0015 | 1.61 |
α ARCH Response to squared shocks | 0.0807 | 9.92*** |
β GARCH Volatility persistence | 0.9208 | 118.25*** |
γ leverage Additional response to negative shocks | -0.1179 | -2.71*** |
Persistence:
1.001
Half-life:
-
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