Russia's Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention

2022/05/18 by Štefan Lyócsa, Lyócsa, Štefan, Tomáš Plíhal +1
Economics, Econometrics and Finance · Social Sciences · #Economic and Technological Developments in Russia #FOS: Economics and business #Financial Risk and Volatility Modeling #General Economics (econ.GN) #General Finance (q-fin.GN) #Market Dynamics and Volatility

paper · pdf · doi:10.48550/arxiv.2205.09179

openalex publication_date 2022/05/18 · openalex created_date 2022/05/23 · openalex updated_date 2026/07/28

Abstract

The onset of the Russo-Ukrainian crisis has led to the rapid depreciation of the Russian ruble. In this study, we model intraday price fluctuations of the USD/RUB and the EUR/RUB exchange rates from the 1^st of December 2021 to the 7^th of March 2022. Our approach is novel in that instead of using daily (low-frequency) measures of attention and investor's expectations, we use intraday (high-frequency) data: google searches and implied volatility to proxy investor's attention and expectations. We show that both approaches are useful in predicting intraday price fluctuations of the two exchange rates, although implied volatility encompasses intraday attention.

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