V-Lab
US Dollar to Russian Ruble MF2-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
10.97%
1 Week
11.95%
1 Month
13.72%
Analysis last updated: Sunday, July 26, 2026 at 03:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 80% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 41 | |
α ARCH Response to squared shocks | 0.1867 | 27.74*** |
β GARCH Volatility persistence | 0.7426 | 100.32*** |
γ leverage Additional response to negative shocks | -0.0829 | -9.10*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0009 | 5.79*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0719 | 8.22*** |
λ₃ tau persistence Long-term factor persistence | 0.9281 | 99.49*** |
Persistence:
0.888
Half-life:
6 days
Other MF2-GARCH Analyses on Currencies