V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 22nd, 2025:12.69% (+0.17%)

Analysis last updated: Friday, September 19, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8987	3.90
$α$	0.1028	9.47
$β$	0.8741	75.95
$γ_{1}$	-0.1351	-1.35
$γ_{2}$	0.2761	1.87
$γ_{3}$	-0.1693	-2.41
$γ_{4}$	-0.0616	-1.40
$γ_{5}$	0.2161	4.69
$γ_{6}$	-0.2106	-3.72
$γ_{7}$	0.0966	1.43
$γ_{8}$	0.0345	0.52
$γ_{9}$	-0.1056	-1.48

Estimation Period:
Jan 1, 2000 to Sep 19, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts