V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

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V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 14th, 2025:10.64% (-0.18%)

Analysis last updated: Thursday, November 13, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9008	3.95
$α$	0.1030	9.48
$β$	0.8735	75.31
$γ_{1}$	-0.1316	-1.33
$γ_{2}$	0.2716	1.86
$γ_{3}$	-0.1702	-2.45
$γ_{4}$	-0.0566	-1.33
$γ_{5}$	0.2121	4.89
$γ_{6}$	-0.2133	-4.02
$γ_{7}$	0.1062	1.63
$γ_{8}$	0.0241	0.37
$γ_{9}$	-0.1065	-1.58

Estimation Period:
Jan 1, 2000 to Nov 7, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts