US Dollar to Russian Ruble Zero Slope Spline-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, October 19th, 2026
1 Day
13.30%
decreased by 0.79%
1 Week
13.83%
decreased by 0.26%
1 Month
15.77%
increased by 1.68%
Analysis last updated: Sunday, October 18, 2026 at 03:44 PM UTC
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How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Oct 16, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 77016 trading days (~305.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~77016 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0437 | 0.07 |
| αARCH | 0.1459 | 0.01 |
| βGARCH | 0.8541 | 0.05 |
Spline Coefficients
K=7
| γ1 | -0.2707 | -0.32 |
| γ2 | 0.3644 | 0.21 |
| γ3 | -0.1517 | -0.08 |
| γ4 | 0.0998 | 0.05 |
| γ5 | -0.0705 | -0.04 |
| γ6 | 0.0494 | 0.08 |
| γ7 | -0.0325 | -0.12 |
1.000
Persistence77016d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0437 | 0.07 |
α ARCH Response to squared shocks | 0.1459 | 0.01 |
β GARCH Volatility persistence | 0.8541 | 0.05 |
Spline Coefficients
K=7
| γ1 | -0.2707 | -0.32 |
| γ2 | 0.3644 | 0.21 |
| γ3 | -0.1517 | -0.08 |
| γ4 | 0.0998 | 0.05 |
| γ5 | -0.0705 | -0.04 |
| γ6 | 0.0494 | 0.08 |
| γ7 | -0.0325 | -0.12 |
Persistence:
1.000
Half-life:
77016 days
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