V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 4th, 2024:17.61% (-1.25%)

Analysis last updated: Thursday, October 3, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7444	3.09
$α$	0.1119	8.80
$β$	0.8556	57.30
$γ_{1}$	-0.2344	-1.69
$γ_{2}$	0.4277	2.18
$γ_{3}$	-0.2445	-2.53
$γ_{4}$	0.0435	0.51
$γ_{5}$	-0.0633	-0.86
$γ_{6}$	0.2168	4.20
$γ_{7}$	-0.2631	-4.41
$γ_{8}$	0.1295	1.49
$γ_{9}$	0.0849	0.89
$γ_{10}$	-0.3048	-2.37

Estimation Period:
Jan 1, 2000 to Sep 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts