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 Monday, December 23rd, 2024:20.73% (-0.38%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7994	3.17
$α$	0.1111	9.02
$β$	0.8592	61.71
$γ_{1}$	-0.2060	-1.47
$γ_{2}$	0.3795	1.91
$γ_{3}$	-0.2054	-2.09
$γ_{4}$	0.0029	0.03
$γ_{5}$	-0.0207	-0.27
$γ_{6}$	0.1815	3.40
$γ_{7}$	-0.2498	-4.63
$γ_{8}$	0.1522	1.96
$γ_{9}$	0.0073	0.09
$γ_{10}$	-0.0788	-1.71

Estimation Period:
Jan 1, 2000 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts