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, July 29th, 2024:14.85% (+1.80%)

Analysis last updated: Friday, July 26, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0024	16.44
$α$	0.0944	20.35
$β$	0.9228	418.33
$γ$	-0.0344	-5.54

Estimation Period:
Jan 1, 2000 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts