V-Lab: Russian Ruble GJR-GARCH Volatility Analysis

V-Lab

Russian Ruble GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:19.53% (+1.36%)

Analysis last updated: Thursday, April 24, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0023	16.35
$α$	0.0928	20.78
$β$	0.9249	440.44
$γ$	-0.0354	-5.98

Estimation Period:
Jan 1, 2000 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts