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, February 5th, 2025:15.39% (-0.81%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8085	3.16
$α$	0.1081	9.12
$β$	0.8641	65.76
$γ_{1}$	-0.2044	-1.46
$γ_{2}$	0.3790	1.91
$γ_{3}$	-0.2087	-2.12
$γ_{4}$	0.0053	0.06
$γ_{5}$	-0.0185	-0.24
$γ_{6}$	0.1754	3.18
$γ_{7}$	-0.2431	-4.61
$γ_{8}$	0.1489	1.97
$γ_{9}$	0.0089	0.12
$γ_{10}$	-0.0820	-1.74

Estimation Period:
Jan 1, 2000 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts