Chinese Renminbi AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, October 23rd, 2026
1 Day
2.48%
increased by 1.44%
1 Week
2.49%
increased by 1.45%
1 Month
2.55%
increased by 1.51%
Analysis last updated: Thursday, October 22, 2026 at 08:05 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 29, 2005 to Oct 16, 2026Model Insight
Estimated persistence of 1.004 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
AGARCH Model
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High persistence: persistence 1.004 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 0.24 |
| αARCH | 0.0454 | 7.40*** |
| βGARCH | 0.9590 | 169.80*** |
| γleverage | -0.0199 | -0.66 |
1.004
Persistence-
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 0.24 |
α ARCH Response to squared shocks | 0.0454 | 7.40*** |
β GARCH Volatility persistence | 0.9590 | 169.80*** |
γ leverage Additional response to negative shocks | -0.0199 | -0.66 |
Persistence:
1.004
Half-life:
-
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