V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:3.81% (-0.02%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0092	92,340.00
$β$	0.9918	9,918,330.00
$γ$	-0.0021	-21,370.00
$λ_{1}$	0.0295	294,740.00
$λ_{2}$	0.1630	1,630,000.00
$λ_{3}$	0.0063	62,850.00

Estimation Period:
Jan 2, 1990 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts