V-Lab: Chinese Renminbi GJR-GARCH Volatility Analysis

V-Lab

Chinese Renminbi GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:2.94% (-0.01%)

Analysis last updated: Friday, May 30, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0000	5.33
$α$	0.0342	16.10
$β$	0.9691	770.94
$γ$	-0.0066	-1.91

Estimation Period:
Jul 29, 2005 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts