V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

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V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:16.50% (-0.43%)

Analysis last updated: Friday, September 22, 2023 at 07:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6877	2.80
$α$	0.1093	8.52
$β$	0.8557	57.39
$γ_{1}$	-0.2798	-1.78
$γ_{2}$	0.4998	2.28
$γ_{3}$	-0.2884	-2.73
$γ_{4}$	0.0918	1.03
$γ_{5}$	-0.1462	-2.08
$γ_{6}$	0.3119	5.15
$γ_{7}$	-0.3131	-3.76
$γ_{8}$	0.1276	1.34
$γ_{9}$	0.0344	0.42
$γ_{10}$	0.0428	0.43

Estimation Period:
Jan 1, 2000 to Sep 22, 2023

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts