V-Lab: Chinese Renminbi GJR-GARCH Volatility Analysis

V-Lab

Chinese Renminbi GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, August 1st, 2025:1.71% (+0.12%)

Analysis last updated: Thursday, July 31, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0000	5.67
$α$	0.0363	16.43
$β$	0.9677	760.81
$γ$	-0.0080	-2.23

Estimation Period:
Jul 29, 2005 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts