V-Lab: Chinese Renminbi GJR-GARCH Volatility Analysis

V-Lab

Chinese Renminbi GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:2.00% (+0.11%)

Analysis last updated: Friday, August 29, 2025 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0000	5.67
$α$	0.0358	16.49
$β$	0.9682	776.41
$γ$	-0.0080	-2.26

Estimation Period:
Jul 29, 2005 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts