V-Lab
US Dollar to Russian Ruble EGARCH Volatility Analysis
Volatility prediction for Monday, August 17th, 2026
1 Day
15.20%
decreased by 0.90%
1 Week
15.50%
decreased by 0.60%
1 Month
16.67%
increased by 0.57%
Analysis last updated: Sunday, August 16, 2026 at 02:59 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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 38% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0183 | 22.29*** |
α ARCH Response to squared shocks | 0.2153 | 45.89*** |
β GARCH Volatility persistence | 0.9890 | 1,898.20*** |
γ leverage Additional response to negative shocks | 0.0341 | 9.55*** |
Persistence:
0.989
Half-life:
62 days
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