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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0083	3.73***
βGARCH	0.9917	1,544.69***
γleverage	0.0000	-0.01
λ₁tau intercept	0.0228	2.68***
λ₂forecast adj.	0.1987	0.55
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0083	3.73***
β GARCH Volatility persistence	0.9917	1,544.69***
γ leverage Additional response to negative shocks	0.0000	-0.01
λ₁ tau intercept Baseline long-term coefficient	0.0228	2.68***
λ₂ forecast adj. Forecast performance sensitivity	0.1987	0.55
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chinese Renminbi Analyses