V-Lab
Russian Ruble EGARCH Volatility Analysis
Volatility prediction for Monday, September 7th, 2026
1 Day
14.27%
decreased by 0.08%
1 Week
14.48%
increased by 0.13%
1 Month
15.30%
increased by 0.95%
Analysis last updated: Friday, September 4, 2026 at 08:09 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 52% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0120 | 3.60*** |
α ARCH Response to squared shocks | 0.1751 | 10.60*** |
β GARCH Volatility persistence | 0.9877 | 420.31*** |
γ leverage Additional response to negative shocks | 0.0363 | 2.44** |
Persistence:
0.988
Half-life:
56 days
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