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 Tuesday, July 7th, 2026
1 Day
1.55%
decreased by 0.02%
1 Week
1.56%
decreased by 0.01%
1 Month
1.57%
increased by 0.00%
Analysis last updated: Monday, July 6, 2026 at 07:03 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 | |
| 0.0371 | 16.77 | |
| 0.9663 | 747.36 | |
| -0.0069 | -1.90 |
Estimation Period:
Jul 29, 2005 to Jul 3, 2026
Jul 29, 2005 to Jul 3, 2026
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