US Dollar to Russian Ruble GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 22nd, 2026
1 Day
9.82%
decreased by 0.37%
1 Week
9.84%
decreased by 0.35%
1 Month
9.94%
decreased by 0.25%
Analysis last updated: Sunday, June 21, 2026 at 02:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0010 | 8.94 | |
| 0.0923 | 26.32 | |
| 0.9258 | 497.22 | |
| -0.0363 | -7.03 |
Estimation Period:
Jan 5, 1996 to Jun 19, 2026
Jan 5, 1996 to Jun 19, 2026
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