V-Lab: Russian Ruble MF2-GARCH Volatility Analysis

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V-Lab

Russian Ruble MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:2.44% (-26.27%)

Analysis last updated: Sunday, December 3, 2023 at 02:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	116
$α$	0.7427	7427240.00
$β$	0.0073	72760.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0177	176740.00
$λ_{2}$	0.0000	100.00
$λ_{3}$	0.9903	9903010.00

Estimation Period:
Jul 12, 1993 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts