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

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V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:12.71% (-0.04%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7210	2.51
$α$	0.1083	8.78
$β$	0.8634	65.19
$γ_{1}$	-0.3002	-1.66
$γ_{2}$	0.5264	2.09
$γ_{3}$	-0.2889	-2.37
$γ_{4}$	0.0871	0.89
$γ_{5}$	-0.1521	-2.00
$γ_{6}$	0.2895	3.72
$γ_{7}$	-0.2193	-2.27
$γ_{8}$	0.0053	0.06
$γ_{9}$	0.1149	1.76
$γ_{10}$	-0.0867	-1.62

Estimation Period:
Jan 1, 2000 to Jan 28, 2023

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Volatility Forecasts

Volatility Forecasts