The study looked at predicting market risk for the Russian RTS index future by using different models with implied volatility and Google Trends data. Daily data from 2006 to 2019 was analyzed, including turbulent market periods. Adding these variables did not improve risk measure predictions and sometimes made them worse, especially during high volatility. T-GARCH models with implied volatility and student’s t errors were found to be more reliable for estimating market risk in Russian future markets.