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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0074	3.05***
βGARCH	0.9915	898.89***
γleverage	0.0022	0.68
λ₁tau intercept	0.0332	1.77*
λ₂forecast adj.	0.1823	0.62
λ₃tau persistence	0.0024	0.01

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0074	3.05***
β GARCH Volatility persistence	0.9915	898.89***
γ leverage Additional response to negative shocks	0.0022	0.68
λ₁ tau intercept Baseline long-term coefficient	0.0332	1.77*
λ₂ forecast adj. Forecast performance sensitivity	0.1823	0.62
λ₃ tau persistence Long-term factor persistence	0.0024	0.01

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chinese Renminbi Analyses