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Parameter	Value	t-statistic
ω const Unconditional variance weight	11.7479	12.58***
α ARCH Response to squared shocks	0.0423	129.07***
β GARCH Volatility persistence	0.9990
ν DF Student-t tail thickness	2.0516	7,890.92***

V-Lab

Russian Ruble GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russian Ruble Analyses