US Dollar to Russian Ruble MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
10.98%
1 Week
11.11%
1 Month
11.59%
Analysis last updated: Sunday, October 18, 2026 at 03:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 82% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 41 | |
| αARCH | 0.1857 | 5.87*** |
| βGARCH | 0.7445 | 33.25*** |
| γleverage | -0.0835 | -2.26** |
| λ₁tau intercept | 0.0009 | 3.17*** |
| λ₂forecast adj. | 0.0718 | 4.86*** |
| λ₃tau persistence | 0.9282 | 68.16*** |
0.888
Persistence6d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.1857 | 5.87*** |
β GARCH Volatility persistence | 0.7445 | 33.25*** |
γ leverage Additional response to negative shocks | -0.0835 | -2.26** |
λ₁ tau intercept Baseline long-term coefficient | 0.0009 | 3.17*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0718 | 4.86*** |
λ₃ tau persistence Long-term factor persistence | 0.9282 | 68.16*** |
Persistence:
0.888
Half-life:
6 days
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