V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:20.41% (-0.78%)

Analysis last updated: Friday, May 16, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7698	3.14
$α$	0.1071	9.17
$β$	0.8657	67.30
$γ_{1}$	-0.2154	-1.61
$γ_{2}$	0.3966	2.08
$γ_{3}$	-0.2221	-2.35
$γ_{4}$	0.0136	0.16
$γ_{5}$	-0.0154	-0.19
$γ_{6}$	0.1664	2.87
$γ_{7}$	-0.2418	-4.90
$γ_{8}$	0.1670	2.42
$γ_{9}$	-0.0321	-0.40
$γ_{10}$	0.0156	0.14

Estimation Period:
Jan 1, 2000 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts