V-Lab: Russian Ruble GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, February 10th, 2025:18.54% (-0.72%)

Analysis last updated: Sunday, February 9, 2025 at 01:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0024	16.29
$α$	0.0940	20.72
$β$	0.9242	435.35
$γ$	-0.0365	-6.04

Estimation Period:
Jan 1, 2000 to Feb 7, 2025

News Impact Curve

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Volatility Forecasts

Volatility Forecasts