V-Lab
US Dollar to Russian Ruble AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, August 17th, 2026
1 Day
14.69%
1 Week
14.92%
1 Month
15.87%
Analysis last updated: Sunday, August 16, 2026 at 03:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Aug 14, 2026Model Insight
Estimated persistence of 1.015 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Asymmetry: positive returns raise volatility more
AGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 2.71*** |
α ARCH Response to squared shocks | 0.0981 | 40.32*** |
β GARCH Volatility persistence | 0.9166 | 481.43*** |
γ leverage Additional response to negative shocks | -0.0350 | -3.45*** |
Persistence:
1.015
Half-life:
-
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