Chinese Renminbi GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, October 14th, 2026
1 Day
1.04%
decreased by 0.01%
1 Week
1.04%
decreased by 0.01%
1 Month
1.06%
increased by 0.01%
Analysis last updated: Tuesday, October 13, 2026 at 07:10 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 9, 2026Model Insight
Estimated persistence of 1.000 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
GARCH Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 1.31 |
| αARCH | 0.0338 | 6.60*** |
| βGARCH | 0.9662 | 186.10*** |
1.000
Persistence-
Half-lifeσ
GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 1.31 |
α ARCH Response to squared shocks | 0.0338 | 6.60*** |
β GARCH Volatility persistence | 0.9662 | 186.10*** |
Persistence:
1.000
Half-life:
-
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