V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

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V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:7.39% (+0.43%)

Analysis last updated: Thursday, November 30, 2023 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	1.0000	9999900.00
$β$	0.1250	1249950.00
$γ$	-0.2500	-2499690.00
$λ_{1}$	0.0000	0.14
$λ_{2}$	0.0172	44.63
$λ_{3}$	0.9828	2857.03

Estimation Period:
Jan 2, 1990 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts