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{name} Model Equation

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Param	Value	t-stat
mwindow	41
αARCH	0.1845	6.69***
βGARCH	0.7511	41.62***
γleverage	-0.0712	-2.11**
λ₁tau intercept	0.0007	2.62***
λ₂forecast adj.	0.0749	4.06***
λ₃tau persistence	0.9251	54.16***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1845	6.69***
β GARCH Volatility persistence	0.7511	41.62***
γ leverage Additional response to negative shocks	-0.0712	-2.11**
λ₁ tau intercept Baseline long-term coefficient	0.0007	2.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0749	4.06***
λ₃ tau persistence Long-term factor persistence	0.9251	54.16***

V-Lab

Russian Ruble MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Russian Ruble Analyses