Russian Ruble MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
11.33%
1 Week
11.43%
1 Month
11.91%
Analysis last updated: Sunday, October 18, 2026 at 01:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 12, 1993 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 64% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 41 | |
| αARCH | 0.1847 | 6.72*** |
| βGARCH | 0.7518 | 41.89*** |
| γleverage | -0.0723 | -2.15** |
| λ₁tau intercept | 0.0007 | 2.62*** |
| λ₂forecast adj. | 0.0748 | 4.06*** |
| λ₃tau persistence | 0.9252 | 54.22*** |
0.900
Persistence7d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.1847 | 6.72*** |
β GARCH Volatility persistence | 0.7518 | 41.89*** |
γ leverage Additional response to negative shocks | -0.0723 | -2.15** |
λ₁ tau intercept Baseline long-term coefficient | 0.0007 | 2.62*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0748 | 4.06*** |
λ₃ tau persistence Long-term factor persistence | 0.9252 | 54.22*** |
Persistence:
0.900
Half-life:
7 days
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