Short-term forecasting of the ruble exchange rate using a factor model

The article presents an analysis of structural and market factors influencing the dynamics of the ruble exchange rate in the period from the 1st quarter of 2015 to the 3rd quarter of 2024. The purpose of the study is to develop a factor model that allows for short-term forecasting of the ruble exchange rate, taking into account the current economic environment. The authors of the study use econometric analysis methods to build two multiple regression models, where the dependent variable is the quarterly average exchange rate of the RUB/USD currency pair. The first model does not take into account the lagged ruble exchange rate, while the second model includes this parameter for a more accurate assessment. Using statistical indicators such as R-squared, F-statistics and t-statistics, the key factors that have the greatest impact on the ruble exchange rate have been identified. Based on the analysis, an econometric model has been constructed that best describes the dynamics of the ruble exchange rate in modern economic conditions. As a result of the study of the influence of structural and market factors on the dynamics of the ruble exchange rate, it was found that such factors as GDP, real interest rate, domestic debt index and RVI volatility index have the greatest impact in the period from Q1 2015 to Q3 2024. The results of the study can be useful for retail investors to make informed financial decisions in the foreign exchange market, banks and financial companies to manage currency risks, government agencies to formulate economic policy, for researchers and students this study will provide new material for the analysis and development of existing theories. The article also discusses possible limitations of the model and directions for further research.