V-Lab: Russian Ruble GJR-GARCH Volatility Analysis

V-Lab

Russian Ruble GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:17.83% (-0.68%)

Analysis last updated: Sunday, June 1, 2025 at 01:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0023	16.14
$α$	0.0913	20.79
$β$	0.9261	448.27
$γ$	-0.0349	-5.99

Estimation Period:
Jan 1, 2000 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts