V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:2.97% (-0.01%)

Analysis last updated: Friday, June 20, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0107	106,900.00
$β$	0.9922	9,921,980.00
$γ$	-0.0058	-57,770.00
$λ_{1}$	0.0378	378,050.00
$λ_{2}$	0.2011	2,010,590.00
$λ_{3}$	0.0237	237,390.00

Estimation Period:
Jan 2, 1990 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts