V-Lab
V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, January 30th, 2023:12.71% (-0.04%)

Analysis last updated: Sunday, January 29, 2023, 01:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Russian Ruble S0GARCH
paramt-stat
ω0.72102.51
α0.10838.78
β0.863465.19
γ1-0.3002-1.66
γ20.52642.09
γ3-0.2889-2.37
γ40.08710.89
γ5-0.1521-2.00
γ60.28953.72
γ7-0.2193-2.27
γ80.00530.06
γ90.11491.76
γ10-0.0867-1.62
Estimation Period:
Jan 1, 2000 to Jan 28, 2023
Impact of return on volatility tomorrow
Volatility Forecasts