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Analysis of the Volatility of the Ruble Exchange Rate, the Degree of Its Dependence on the Volatility of Oil Prices and Other Factors
The political and economic events 2014 led to a series of economic sanctions against and by Russia. The combination of sanctions and declining oil prices devaluating the Russian national currency (the rouble) had a significant negative affect on the Russian economy. Utilizing the BEKK-GARCH and DCC-GARCH models we find evidence of direct linkage between the Russian national currency the oil prices, US Dollar Index and other factors.