V-Lab
Russian Ruble EGARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
10.48%
decreased by 0.24%
1 Week
10.71%
decreased by 0.01%
1 Month
11.65%
increased by 0.93%
Analysis last updated: Friday, September 25, 2026 at 09:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Sep 25, 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
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Inverse leverage: Positive returns increase volatility 52% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0119 | 3.56*** |
| αARCH | 0.1756 | 10.62*** |
| βGARCH | 0.9876 | 417.95*** |
| γleverage | 0.0364 | 2.44** |
0.988
Persistence56d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0119 | 3.56*** |
α ARCH Response to squared shocks | 0.1756 | 10.62*** |
β GARCH Volatility persistence | 0.9876 | 417.95*** |
γ leverage Additional response to negative shocks | 0.0364 | 2.44** |
Persistence:
0.988
Half-life:
56 days
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