V-Lab
Russian Ruble Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
13.64%
increased by 0.40%
1 Week
13.95%
increased by 0.71%
1 Month
14.98%
increased by 1.74%
Analysis last updated: Monday, September 7, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Sep 4, 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 | 0.9343 | 4.21*** |
| αARCH | 0.1023 | 9.54*** |
| βGARCH | 0.8736 | 75.04*** |
Spline Coefficients
K=9
| γ1 | -0.1076 | -1.16 |
| γ2 | 0.2395 | 1.72* |
| γ3 | -0.1755 | -2.58*** |
| γ4 | -0.0181 | -0.47 |
| γ5 | 0.1688 | 5.13*** |
| γ6 | -0.2004 | -5.59*** |
| γ7 | 0.1442 | 3.01*** |
| γ8 | -0.0540 | -1.04 |
| γ9 | -0.0103 | -0.30 |
0.976
Persistence28d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9343 | 4.21*** |
α ARCH Response to squared shocks | 0.1023 | 9.54*** |
β GARCH Volatility persistence | 0.8736 | 75.04*** |
Spline Coefficients
K=9
| γ1 | -0.1076 | -1.16 |
| γ2 | 0.2395 | 1.72* |
| γ3 | -0.1755 | -2.58*** |
| γ4 | -0.0181 | -0.47 |
| γ5 | 0.1688 | 5.13*** |
| γ6 | -0.2004 | -5.59*** |
| γ7 | 0.1442 | 3.01*** |
| γ8 | -0.0540 | -1.04 |
| γ9 | -0.0103 | -0.30 |
Persistence:
0.976
Half-life:
28 days
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