V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 12th, 2025:13.61% (-0.27%)

Analysis last updated: Monday, August 11, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7924	3.15
$α$	0.1054	9.34
$β$	0.8699	71.87
$γ_{1}$	-0.2096	-1.58
$γ_{2}$	0.3869	2.05
$γ_{3}$	-0.2142	-2.28
$γ_{4}$	0.0012	0.01
$γ_{5}$	0.0056	0.07
$γ_{6}$	0.1424	2.26
$γ_{7}$	-0.2238	-4.54
$γ_{8}$	0.1603	2.53
$γ_{9}$	-0.0252	-0.34
$γ_{10}$	-0.0504	-0.57

Estimation Period:
Jan 1, 2000 to Aug 8, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts