Russian Ruble GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
35.37%
decreased by 0.41%
1 Week
35.40%
decreased by 0.38%
1 Month
35.54%
decreased by 0.24%
Analysis last updated: Friday, October 9, 2026 at 07:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Oct 9, 2026Boundary Parameters
Model Insight
The estimated Student-t degrees of freedom v = 2.06 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.06 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 9.8504 | 3.14*** |
| αARCH | 0.0423 | 32.23*** |
| βGARCH | 0.9990 | 3,375.00*** |
| νDF | 2.0621 | 1,636.56*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 9.8504 | 3.14*** |
α ARCH Response to squared shocks | 0.0423 | 32.23*** |
β GARCH Volatility persistence | 0.9990 | 3,375.00*** |
ν DF Student-t tail thickness | 2.0621 | 1,636.56*** |
Persistence:
0.999
Half-life:
693 days
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