V-Lab: Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Russian Ruble Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:22.38% (-0.72%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8078	3.22
$α$	0.1083	9.13
$β$	0.8640	65.56
$γ_{1}$	-0.1996	-1.46
$γ_{2}$	0.3716	1.91
$γ_{3}$	-0.2052	-2.14
$γ_{4}$	0.0012	0.01
$γ_{5}$	-0.0079	-0.10
$γ_{6}$	0.1608	2.83
$γ_{7}$	-0.2338	-4.68
$γ_{8}$	0.1508	2.15
$γ_{9}$	0.0037	0.05
$γ_{10}$	-0.0819	-1.74

Estimation Period:
Jan 1, 2000 to Apr 18, 2025

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