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, December 1st, 2023:12.49% (-0.19%)

Analysis last updated: Thursday, November 30, 2023 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7114	2.86
$α$	0.1080	8.50
$β$	0.8577	57.99
$γ_{1}$	-0.2543	-1.64
$γ_{2}$	0.4540	2.08
$γ_{3}$	-0.2496	-2.36
$γ_{4}$	0.0549	0.62
$γ_{5}$	-0.1064	-1.53
$γ_{6}$	0.2705	4.77
$γ_{7}$	-0.2784	-3.50
$γ_{8}$	0.0945	1.00
$γ_{9}$	0.1042	1.32
$γ_{10}$	-0.1441	-2.89

Estimation Period:
Jan 1, 2000 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts