V-Lab: Chinese Renminbi GJR-GARCH Volatility Analysis

V-Lab

Chinese Renminbi GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, October 6th, 2025:1.44% (-0.02%)

Analysis last updated: Friday, October 3, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0000	5.67
$α$	0.0365	16.55
$β$	0.9678	769.97
$γ$	-0.0087	-2.44

Estimation Period:
Jul 29, 2005 to Oct 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts