V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

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V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:1.57% (-2.29%)

Analysis last updated: Thursday, June 1, 2023 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	1.0000	9999900.00
$β$	0.2080	2079920.00
$γ$	-0.4160	-4159650.00
$λ_{1}$	0.0000	10.00
$λ_{2}$	0.0233	232880.00
$λ_{3}$	0.7762	7761790.00

Estimation Period:
Jan 2, 1990 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts