V-Lab
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 ·

All

graph of Russian Ruble SGARCH
paramt-stat
ω0.67842.50
α0.10828.63
β0.861561.74
γ1-0.3198-1.80
γ20.56122.28
γ3-0.3195-2.71
γ40.11641.22
γ5-0.1800-2.40
γ60.32104.18
γ7-0.2558-2.72
γ80.04520.55
γ90.05210.79
γ100.11741.12
Estimation Period:
Jan 1, 2000 to Jan 28, 2023
Impact of return on volatility tomorrow
Volatility Forecasts