V-Lab: Chinese Renminbi GJR-GARCH Volatility Analysis

V-Lab

Chinese Renminbi GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:3.21% (+0.04%)

Analysis last updated: Wednesday, April 16, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0000	5.67
$α$	0.0349	16.01
$β$	0.9683	750.02
$γ$	-0.0064	-1.79

Estimation Period:
Jul 29, 2005 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts