Parfenov Anatoliy – (The Russian Presidential Academy of National Economy and Public Administration, Moscow, Russian Federation)
The article presents the results of an empirical study of the historical and implied volatility of the ruble’s official exchange rate determined by the Bank of Russia for 2002–2015. It shows that implied volatility depends heavily on the historical one. A regression analysis of the ruble volatility and oil quotations was carried out. The author educed the increase in the imported volatility in the years of crisis as opposed to the native volatility in the quiet years.
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