V-Lab: Russian Ruble MF2-GARCH Volatility Analysis

V-Lab

Russian Ruble MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:31.51% (-0.03%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0073	72,760.00
$β$	0.7427	7,427,240.00
$γ$	0.5000	5,000,000.00
$λ_{1}$	0.0260	20.28
$λ_{2}$	0.9903	19.00
$λ_{3}$	0.0000	0.00

Estimation Period:
Jul 12, 1993 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts