V-Lab
V-Lab

Russian Ruble Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, July 15th, 2024:13.17% (+0.20%)

Analysis last updated: Friday, July 12, 2024 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Russian Ruble SGARCH
paramt-stat
ω0.72663.05
α0.11138.58
β0.854555.15
γ1-0.2424-1.71
γ20.44032.21
γ3-0.2526-2.59
γ40.05360.62
γ5-0.0801-1.11
γ60.23434.57
γ7-0.2683-4.14
γ80.11381.24
γ90.11781.23
γ10-0.3405-2.95
Estimation Period:
Jan 1, 2000 to Jul 12, 2024
Impact of return on volatility tomorrow
Volatility Forecasts