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

V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:21.72% (+2.61%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8120	3.19
$α$	0.1071	9.20
$β$	0.8664	68.06
$γ_{1}$	-0.1988	-1.45
$γ_{2}$	0.3722	1.91
$γ_{3}$	-0.2110	-2.20
$γ_{4}$	0.0097	0.11
$γ_{5}$	-0.0138	-0.17
$γ_{6}$	0.1621	2.77
$γ_{7}$	-0.2320	-4.70
$γ_{8}$	0.1506	2.22
$γ_{9}$	0.0008	0.01
$γ_{10}$	-0.0802	-1.71

Estimation Period:
Jan 1, 2000 to May 9, 2025

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Volatility Forecasts

Volatility Forecasts