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, June 15th, 2026
1 Day
11.88%
decreased by 0.44%
1 Week
11.93%
decreased by 0.39%
1 Month
12.13%
decreased by 0.19%
Analysis last updated: Sunday, June 14, 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 | 16.95 | |
| 0.0924 | 21.63 | |
| 0.9256 | 460.95 | |
| -0.0360 | -6.39 |
Estimation Period:
Jan 1, 2000 to Jun 12, 2026
Jan 1, 2000 to Jun 12, 2026
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