Analysis of the Volatility of the Ruble Exchange Rate, the Degree of Its Dependence on the Volatility of Oil Prices and Other Factors

Student: Khachatrian Van

Educational Programme: Applied Economics (Master)

Year of Graduation: 2018

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.

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