V-Lab
Chinese Renminbi GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
18.65%
decreased by 0.98%
1 Week
18.72%
decreased by 0.91%
1 Month
19.01%
decreased by 0.62%
Analysis last updated: Monday, September 28, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 29, 2005 to Sep 25, 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
Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.7168 | 3.49*** |
| αARCH | 0.0410 | 32.97*** |
| βGARCH | 0.9988 | 2,759.04*** |
| νDF | 2.0009 |
0.999
Persistence564d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.7168 | 3.49*** |
α ARCH Response to squared shocks | 0.0410 | 32.97*** |
β GARCH Volatility persistence | 0.9988 | 2,759.04*** |
ν DF Student-t tail thickness | 2.0009 |
Persistence:
0.999
Half-life:
564 days
Other GAS-GARCH Student T Analyses on Currencies