V-Lab: Russian Ruble MF2-GARCH Volatility Analysis

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V-Lab

Russian Ruble MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:0.00% (-15.36%)

Analysis last updated: Thursday, September 19, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.5371	5370660.00
$β$	0.2129	2129340.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.0001	0.06
$λ_{2}$	0.7161	215.11
$λ_{3}$	0.0000	0.01

Estimation Period:
Jul 12, 1993 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts