V-Lab: Russian Ruble MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 12th, 2025:27.52% (+5.66%)

Analysis last updated: Tuesday, March 11, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.0018	17550.00
$β$	0.7482	7482450.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0233	0.47
$λ_{2}$	0.9977	20.07
$λ_{3}$	0.0023	0.04

Estimation Period:
Jul 12, 1993 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts