Chinese Renminbi GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, May 25th, 2026
1 Day
2.08%
decreased by 0.03%
1 Week
2.08%
decreased by 0.03%
1 Month
2.09%
decreased by 0.02%
Analysis last updated: Sunday, May 24, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 6.00 | |
| 0.0366 | 16.74 | |
| 0.9667 | 749.39 | |
| -0.0066 | -1.83 |
Estimation Period:
Jul 29, 2005 to May 22, 2026
Jul 29, 2005 to May 22, 2026
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