Chinese Renminbi EGARCH Volatility Analysis
Volatility prediction for Wednesday, July 22nd, 2026
1 Day
1.73%
decreased by 0.01%
1 Week
1.76%
increased by 0.02%
1 Month
1.92%
increased by 0.18%
Analysis last updated: Tuesday, July 21, 2026 at 07:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 29, 2005 to Jul 17, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 232 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 56% more than negative returns
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0077 | 5.15*** |
α ARCH Response to squared shocks | 0.0920 | 19.18*** |
β GARCH Volatility persistence | 0.9970 | 1,970.39*** |
γ leverage Additional response to negative shocks | 0.0201 | 4.33*** |
Persistence:
0.997
Half-life:
232 days
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