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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Chinese Renminbi EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 29, 2005 to Jul 17, 2026

Model 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

ParameterValuet-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