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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Chinese Renminbi GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 29, 2005 to Jul 10, 2026

Model 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

ParameterValuet-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