Russian Ruble Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
14.36%
decreased by 0.68%
1 Week
14.58%
decreased by 0.46%
1 Month
15.30%
increased by 0.26%
Analysis last updated: Thursday, November 5, 2026 at 07:28 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 31, 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 29 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 | 0.9284 | 4.16*** |
| αARCH | 0.1028 | 9.63*** |
| βGARCH | 0.8736 | 75.42*** |
Spline Coefficients
K=9
| γ1 | -0.1083 | -1.18 |
| γ2 | 0.2401 | 1.74* |
| γ3 | -0.1776 | -2.61*** |
| γ4 | -0.0118 | -0.31 |
| γ5 | 0.1612 | 4.99*** |
| γ6 | -0.1965 | -5.76*** |
| γ7 | 0.1485 | 3.28*** |
| γ8 | -0.0670 | -1.34 |
| γ9 | 0.0025 | 0.08 |
0.976
Persistence29d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9284 | 4.16*** |
α ARCH Response to squared shocks | 0.1028 | 9.63*** |
β GARCH Volatility persistence | 0.8736 | 75.42*** |
Spline Coefficients
K=9
| γ1 | -0.1083 | -1.18 |
| γ2 | 0.2401 | 1.74* |
| γ3 | -0.1776 | -2.61*** |
| γ4 | -0.0118 | -0.31 |
| γ5 | 0.1612 | 4.99*** |
| γ6 | -0.1965 | -5.76*** |
| γ7 | 0.1485 | 3.28*** |
| γ8 | -0.0670 | -1.34 |
| γ9 | 0.0025 | 0.08 |
Persistence:
0.976
Half-life:
29 days
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