V-Lab: Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:15.79% (+3.74%)

Analysis last updated: Friday, July 26, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7790	3.13
$α$	0.1107	8.77
$β$	0.8563	58.39
$γ_{1}$	-0.2181	-1.51
$γ_{2}$	0.3999	1.97
$γ_{3}$	-0.2209	-2.21
$γ_{4}$	0.0240	0.27
$γ_{5}$	-0.0556	-0.77
$γ_{6}$	0.2215	4.33
$γ_{7}$	-0.2756	-4.38
$γ_{8}$	0.1515	1.72
$γ_{9}$	0.0184	0.23
$γ_{10}$	-0.0794	-1.71

Estimation Period:
Jan 1, 2000 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts