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, January 30th, 2023:16.11% (-0.06%)

Analysis last updated: Sunday, January 29, 2023, 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6784	2.50
$α$	0.1082	8.63
$β$	0.8615	61.74
$γ_{1}$	-0.3198	-1.80
$γ_{2}$	0.5612	2.28
$γ_{3}$	-0.3195	-2.71
$γ_{4}$	0.1164	1.22
$γ_{5}$	-0.1800	-2.40
$γ_{6}$	0.3210	4.18
$γ_{7}$	-0.2558	-2.72
$γ_{8}$	0.0452	0.55
$γ_{9}$	0.0521	0.79
$γ_{10}$	0.1174	1.12

Estimation Period:
Jan 1, 2000 to Jan 28, 2023

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