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

V-Lab

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V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:16.38% (-0.99%)

Analysis last updated: Tuesday, September 17, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7847	3.14
$α$	0.1109	8.86
$β$	0.8570	59.08
$γ_{1}$	-0.2143	-1.51
$γ_{2}$	0.3931	1.95
$γ_{3}$	-0.2152	-2.17
$γ_{4}$	0.0166	0.19
$γ_{5}$	-0.0441	-0.60
$γ_{6}$	0.2084	4.06
$γ_{7}$	-0.2667	-4.47
$γ_{8}$	0.1515	1.79
$γ_{9}$	0.0137	0.17
$γ_{10}$	-0.0774	-1.69

Estimation Period:
Jan 1, 2000 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts