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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0023	4.25***
αARCH	0.0925	5.47***
βGARCH	0.9257	116.52***
γleverage	-0.0363	-1.63

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0023	4.25***
α ARCH Response to squared shocks	0.0925	5.47***
β GARCH Volatility persistence	0.9257	116.52***
γ leverage Additional response to negative shocks	-0.0363	-1.63

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Russian Ruble GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russian Ruble Analyses