V-Lab
V-Lab

Russian Ruble Spline-GARCH Volatility Analysis
Volatility Prediction for Tuesday, March 5th, 2024:11.79% (-0.50%)

Analysis last updated: Monday, March 4, 2024 at 07:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Russian Ruble SGARCH
paramt-stat
ω0.70572.96
α0.10818.47
β0.856756.72
γ1-0.2567-1.75
γ20.46332.24
γ3-0.2668-2.66
γ40.07000.81
γ5-0.1087-1.54
γ60.26815.01
γ7-0.2891-3.89
γ80.11781.20
γ90.09460.98
γ10-0.1837-1.67
Estimation Period:
Jan 1, 2000 to Mar 1, 2024
Impact of return on volatility tomorrow
Volatility Forecasts