V-Lab
Russian Ruble Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
10.32%
decreased by 0.29%
1 Week
10.83%
increased by 0.22%
1 Month
12.44%
increased by 1.83%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Sep 25, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 29 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9097 | 4.10*** |
| αARCH | 0.1025 | 9.59*** |
| βGARCH | 0.8738 | 75.49*** |
Spline Coefficients
K=9
| γ1 | -0.1130 | -1.23 |
| γ2 | 0.2463 | 1.78* |
| γ3 | -0.1779 | -2.62*** |
| γ4 | -0.0163 | -0.43 |
| γ5 | 0.1681 | 5.12*** |
| γ6 | -0.2010 | -5.68*** |
| γ7 | 0.1469 | 3.11*** |
| γ8 | -0.0603 | -1.17 |
| γ9 | -0.0036 | -0.11 |
0.976
Persistence29d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9097 | 4.10*** |
α ARCH Response to squared shocks | 0.1025 | 9.59*** |
β GARCH Volatility persistence | 0.8738 | 75.49*** |
Spline Coefficients
K=9
| γ1 | -0.1130 | -1.23 |
| γ2 | 0.2463 | 1.78* |
| γ3 | -0.1779 | -2.62*** |
| γ4 | -0.0163 | -0.43 |
| γ5 | 0.1681 | 5.12*** |
| γ6 | -0.2010 | -5.68*** |
| γ7 | 0.1469 | 3.11*** |
| γ8 | -0.0603 | -1.17 |
| γ9 | -0.0036 | -0.11 |
Persistence:
0.976
Half-life:
29 days
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