Russian Ruble Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
12.68%
increased by 2.05%
1 Week
13.01%
increased by 2.38%
1 Month
14.08%
increased by 3.45%
Analysis last updated: Tuesday, October 13, 2026 at 07:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Oct 9, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 28 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9480 | 4.27*** |
| αARCH | 0.1022 | 9.55*** |
| βGARCH | 0.8737 | 75.08*** |
Spline Coefficients
K=9
| γ1 | -0.1040 | -1.13 |
| γ2 | 0.2345 | 1.70* |
| γ3 | -0.1753 | -2.58*** |
| γ4 | -0.0140 | -0.37 |
| γ5 | 0.1637 | 5.04*** |
| γ6 | -0.1982 | -5.70*** |
| γ7 | 0.1477 | 3.18*** |
| γ8 | -0.0642 | -1.26 |
| γ9 | 0.0003 | 0.01 |
0.976
Persistence28d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9480 | 4.27*** |
α ARCH Response to squared shocks | 0.1022 | 9.55*** |
β GARCH Volatility persistence | 0.8737 | 75.08*** |
Spline Coefficients
K=9
| γ1 | -0.1040 | -1.13 |
| γ2 | 0.2345 | 1.70* |
| γ3 | -0.1753 | -2.58*** |
| γ4 | -0.0140 | -0.37 |
| γ5 | 0.1637 | 5.04*** |
| γ6 | -0.1982 | -5.70*** |
| γ7 | 0.1477 | 3.18*** |
| γ8 | -0.0642 | -1.26 |
| γ9 | 0.0003 | 0.01 |
Persistence:
0.976
Half-life:
28 days
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