V-Lab: Chinese Renminbi GJR-GARCH Volatility Analysis

V-Lab

Chinese Renminbi GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:3.57% (-0.05%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0000	5.33
$α$	0.0340	16.02
$β$	0.9691	770.97
$γ$	-0.0062	-1.78

Estimation Period:
Jul 29, 2005 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts