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 Friday, July 17th, 2026
1 Day
1.60%
decreased by 0.02%
1 Week
1.60%
decreased by 0.02%
1 Month
1.61%
decreased by 0.01%
Analysis last updated: Thursday, July 16, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 29, 2005 to Jul 10, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 6.00*** |
α ARCH Response to squared shocks | 0.0371 | 16.77*** |
β GARCH Volatility persistence | 0.9664 | 749.71*** |
γ leverage Additional response to negative shocks | -0.0069 | -1.90* |
Persistence:
1.000
Half-life:
1386294 days
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