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

V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 1st, 2025:11.12% (-0.27%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8150	3.20
$α$	0.1060	9.24
$β$	0.8680	69.60
$γ_{1}$	-0.1955	-1.44
$γ_{2}$	0.3661	1.89
$γ_{3}$	-0.2050	-2.15
$γ_{4}$	0.0010	0.01
$γ_{5}$	-0.0017	-0.02
$γ_{6}$	0.1501	2.49
$γ_{7}$	-0.2244	-4.57
$γ_{8}$	0.1496	2.29
$γ_{9}$	-0.0030	-0.04
$γ_{10}$	-0.0766	-1.62

Estimation Period:
Jan 1, 2000 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts