V-Lab: Russian Ruble GJR-GARCH Volatility Analysis

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V-Lab

Russian Ruble GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:25.86% (-0.65%)

Analysis last updated: Friday, December 20, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0024	16.28
$α$	0.0950	20.52
$β$	0.9234	428.10
$γ$	-0.0368	-5.98

Estimation Period:
Jan 1, 2000 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts