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 23rd, 2024:36.54% (+11.60%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0000	100.00
$β$	0.7500	7499900.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0000	0.01
$λ_{2}$	1.0000	32.07
$λ_{3}$	0.0000	0.04

Estimation Period:
Jul 12, 1993 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts