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, November 9th, 2026
1 Day
12.63%
1 Week
12.68%
1 Month
12.86%
Analysis last updated: Sunday, November 8, 2026 at 01:18 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Nov 6, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0024 | 4.28*** |
| αARCH | 0.0926 | 5.48*** |
| βGARCH | 0.9255 | 116.81*** |
| γleverage | -0.0361 | -1.62 |
1.000
Persistence-
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0024 | 4.28*** |
α ARCH Response to squared shocks | 0.0926 | 5.48*** |
β GARCH Volatility persistence | 0.9255 | 116.81*** |
γ leverage Additional response to negative shocks | -0.0361 | -1.62 |
Persistence:
1.000
Half-life:
-
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