V-Lab
V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, May 27th, 2024:10.30% (-0.36%)

Analysis last updated: Sunday, May 26, 2024 at 01:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Russian Ruble S0GARCH
paramt-stat
ω0.74632.95
α0.10628.80
β0.862763.69
γ1-0.2365-1.59
γ20.42622.04
γ3-0.2332-2.26
γ40.03470.39
γ5-0.0707-0.96
γ60.23654.44
γ7-0.2805-4.05
γ80.14411.53
γ90.02560.30
γ10-0.0788-1.63
Estimation Period:
Jan 1, 2000 to May 24, 2024
Impact of return on volatility tomorrow
Volatility Forecasts