V-Lab: Russian Ruble GJR-GARCH Volatility Analysis

V-Lab

|

V-Lab

Russian Ruble GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:13.60% (-0.51%)

Analysis last updated: Sunday, December 3, 2023 at 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0022	14.99
$α$	0.0912	20.18
$β$	0.9269	433.11
$γ$	-0.0361	-6.08

Estimation Period:
Jan 1, 2000 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts