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

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 1st of December 2021 to the 7th 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. • Ruble's price variation was extreme on the onset of the Russian invasion to Ukraine. • We model intraday realized variance of the Ruble to USD and EUR. • Intraday google searches explain future intraday variation of Ruble. • Intraday implied volatility also explains future intraday variation of the Ruble. • Implied volatility is more informative as subsumes information from google searches. [ABSTRACT FROM AUTHOR]