V-Lab: Russian Ruble Spline-GARCH Volatility Analysis

V-Lab

Russian Ruble Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 7th, 2025:12.24% (+0.02%)

Analysis last updated: Friday, July 4, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7821	3.15
$α$	0.1064	9.26
$β$	0.8678	69.62
$γ_{1}$	-0.2122	-1.59
$γ_{2}$	0.3912	2.06
$γ_{3}$	-0.2177	-2.31
$γ_{4}$	0.0067	0.08
$γ_{5}$	-0.0036	-0.04
$γ_{6}$	0.1527	2.52
$γ_{7}$	-0.2310	-4.71
$γ_{8}$	0.1616	2.46
$γ_{9}$	-0.0240	-0.32
$γ_{10}$	-0.0344	-0.35

Estimation Period:
Jan 1, 2000 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts