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, October 28th, 2024:14.47% (-0.85%)

Analysis last updated: Friday, October 25, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7496	3.09
$α$	0.1118	8.91
$β$	0.8567	58.63
$γ_{1}$	-0.2332	-1.68
$γ_{2}$	0.4256	2.17
$γ_{3}$	-0.2427	-2.51
$γ_{4}$	0.0408	0.47
$γ_{5}$	-0.0589	-0.79
$γ_{6}$	0.2124	4.06
$γ_{7}$	-0.2619	-4.46
$γ_{8}$	0.1345	1.56
$γ_{9}$	0.0719	0.75
$γ_{10}$	-0.2764	-2.08

Estimation Period:
Jan 1, 2000 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts