Russian Ruble Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, October 15th, 2026
1 Day
11.23%
decreased by 0.47%
1 Week
11.42%
decreased by 0.28%
1 Month
12.05%
increased by 0.35%
Analysis last updated: Wednesday, October 14, 2026 at 08:15 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 2000 to Oct 9, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 29 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.9249 | 4.22*** |
| αARCH | 0.1025 | 9.58*** |
| βGARCH | 0.8735 | 75.07*** |
Spline Coefficients
K=9
| γ1 | -0.1137 | -1.26 |
| γ2 | 0.2494 | 1.84* |
| γ3 | -0.1818 | -2.71*** |
| γ4 | -0.0145 | -0.38 |
| γ5 | 0.1675 | 5.14*** |
| γ6 | -0.1998 | -5.66*** |
| γ7 | 0.1414 | 2.92*** |
| γ8 | -0.0410 | -0.70 |
| γ9 | -0.0658 | -0.95 |
0.976
Persistence29d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.9249 | 4.22*** |
α ARCH Response to squared shocks | 0.1025 | 9.58*** |
β GARCH Volatility persistence | 0.8735 | 75.07*** |
Spline Coefficients
K=9
| γ1 | -0.1137 | -1.26 |
| γ2 | 0.2494 | 1.84* |
| γ3 | -0.1818 | -2.71*** |
| γ4 | -0.0145 | -0.38 |
| γ5 | 0.1675 | 5.14*** |
| γ6 | -0.1998 | -5.66*** |
| γ7 | 0.1414 | 2.92*** |
| γ8 | -0.0410 | -0.70 |
| γ9 | -0.0658 | -0.95 |
Persistence:
0.976
Half-life:
29 days
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