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The Historical and Implied Volatility of the Russian Ruble. The Link between the Ruble’s Exchange Rate and Oil Quotations


Anatoliy Parfenov
(about the author)

Parfenov Anatoliy – (The Russian Presidential Academy of National Economy and Public Administration, Moscow, Russian Federation)

Published in:
Global Markets and Financial Engineering (Russian version)
– Volume 3, Number 1 (January-March, 2016)

JEL classification: C20, E58, G10

Keywords: Brent, historical volatility, implied volatility, linear regression


Citation:
Anatoliy Parfenov (2016). The Historical and Implied Volatility of the Russian Ruble. The Link between the Ruble’s Exchange Rate and Oil Quotations. Global Markets and Financial Engineering (Russian version), 3(1), 21-28. doi: 10.18334/grfi.3.1.37063


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Abstract:

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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