V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 16th, 2024:0.43% (+0.16%)

Analysis last updated: Monday, April 15, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.6915	6915430.00
$β$	0.0585	584570.00
$γ$	0.5000	5000000.00
$λ_{1}$	3.9879	39879180.00
$λ_{2}$	0.0022	22200.00
$λ_{3}$	0.8173	8173090.00

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts