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 Monday, April 6th, 2026
1 Day
2.99%
decreased by 0.05%
1 Week
2.99%
decreased by 0.05%
1 Month
3.00%
decreased by 0.04%
Analysis last updated: Friday, April 3, 2026 at 08:54 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 | |
| 0.0361 | 16.66 | |
| 0.9669 | 750.69 | |
| -0.0059 | -1.66 |
Estimation Period:
Jul 29, 2005 to Apr 3, 2026
Jul 29, 2005 to Apr 3, 2026
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