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 Friday, June 2nd, 2023:16.06% (+1.43%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7241	2.68
$α$	0.1073	8.64
$β$	0.8617	62.64
$γ_{1}$	-0.2777	-1.64
$γ_{2}$	0.4922	2.08
$γ_{3}$	-0.2719	-2.37
$γ_{4}$	0.0746	0.79
$γ_{5}$	-0.1375	-1.89
$γ_{6}$	0.2933	4.30
$γ_{7}$	-0.2599	-2.88
$γ_{8}$	0.0515	0.57
$γ_{9}$	0.1121	1.60
$γ_{10}$	-0.1149	-2.27

Estimation Period:
Jan 1, 2000 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts