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 Wednesday, April 8th, 2026
1 Day
15.85%
decreased by 0.60%
1 Week
15.89%
decreased by 0.56%
1 Month
16.03%
decreased by 0.42%
Analysis last updated: Tuesday, April 7, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0024 | 16.84 | |
| 0.0929 | 21.45 | |
| 0.9252 | 456.43 | |
| -0.0361 | -6.28 |
Estimation Period:
Jan 1, 2000 to Apr 3, 2026
Jan 1, 2000 to Apr 3, 2026
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