Chinese Renminbi GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
4.49%
increased by 0.19%
1 Week
4.51%
increased by 0.21%
1 Month
4.58%
increased by 0.28%
Analysis last updated: Friday, October 30, 2026 at 07:02 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 30, 2026Model Insight
The estimated Student-t degrees of freedom v = 2.03 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
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Unreliable tails: v = 2.03 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.3727 | 3.22*** |
| αscore | 0.0563 | 33.23*** |
| βpersistence | 0.9986 | 2,327.70*** |
| νDF | 2.0283 | 4,750.08*** |
0.999
Persistence489d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.3727 | 3.22*** |
α score Weight on the scaled score | 0.0563 | 33.23*** |
β persistence Volatility persistence | 0.9986 | 2,327.70*** |
ν DF Student-t tail thickness | 2.0283 | 4,750.08*** |
Persistence:
0.999
Half-life:
489 days
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