Russian Ruble GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, May 25th, 2026
1 Day
11.47%
decreased by 0.42%
1 Week
11.52%
decreased by 0.37%
1 Month
11.72%
decreased by 0.17%
Analysis last updated: Sunday, May 24, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0023 | 16.86 | |
| 0.0926 | 21.61 | |
| 0.9255 | 460.46 | |
| -0.0362 | -6.39 |
Estimation Period:
Jan 1, 2000 to May 22, 2026
Jan 1, 2000 to May 22, 2026
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