V-Lab
Chinese Renminbi GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
31.79%
decreased by 1.74%
1 Week
31.80%
decreased by 1.73%
1 Month
31.83%
decreased by 1.70%
Analysis last updated: Sunday, July 26, 2026 at 01:49 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 29, 2005 to Jul 24, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.8463 | 14.12*** |
α ARCH Response to squared shocks | 0.0405 | 130.97*** |
β GARCH Volatility persistence | 0.9988 | |
ν DF Student-t tail thickness | 2.0010 |
Persistence:
0.999
Half-life:
574 days
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