V-Lab
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 ·

All

graph of Russian Ruble S0GARCH
paramt-stat
ω0.72412.68
α0.10738.64
β0.861762.64
γ1-0.2777-1.64
γ20.49222.08
γ3-0.2719-2.37
γ40.07460.79
γ5-0.1375-1.89
γ60.29334.30
γ7-0.2599-2.88
γ80.05150.57
γ90.11211.60
γ10-0.1149-2.27
Estimation Period:
Jan 1, 2000 to May 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts