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 Tuesday, July 7th, 2026
1 Day
18.65%
decreased by 0.72%
1 Week
18.69%
decreased by 0.68%
1 Month
18.81%
decreased by 0.56%
Analysis last updated: Monday, July 6, 2026 at 07:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0023 | 16.88 | |
| 0.0927 | 21.79 | |
| 0.9257 | 463.56 | |
| -0.0369 | -6.60 |
Estimation Period:
Jan 1, 2000 to Jul 3, 2026
Jan 1, 2000 to Jul 3, 2026
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