V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:14.37% (+4.31%)

Analysis last updated: Friday, July 26, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7310	3.06
$α$	0.1115	8.64
$β$	0.8544	55.76
$γ_{1}$	-0.2409	-1.71
$γ_{2}$	0.4382	2.20
$γ_{3}$	-0.2515	-2.58
$γ_{4}$	0.0524	0.61
$γ_{5}$	-0.0781	-1.08
$γ_{6}$	0.2324	4.54
$γ_{7}$	-0.2686	-4.19
$γ_{8}$	0.1176	1.29
$γ_{9}$	0.1102	1.15
$γ_{10}$	-0.3256	-2.77

Estimation Period:
Jan 1, 2000 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts