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 Thursday, April 25th, 2024:7.07% (-0.19%)

Analysis last updated: Wednesday, April 24, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7146	2.97
$α$	0.1073	8.53
$β$	0.8586	57.93
$γ_{1}$	-0.2529	-1.73
$γ_{2}$	0.4569	2.23
$γ_{3}$	-0.2622	-2.62
$γ_{4}$	0.0640	0.73
$γ_{5}$	-0.0982	-1.38
$γ_{6}$	0.2534	4.79
$γ_{7}$	-0.2733	-3.79
$γ_{8}$	0.0988	1.02
$γ_{9}$	0.1378	1.43
$γ_{10}$	-0.3277	-3.04

Estimation Period:
Jan 1, 2000 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts