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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.0080	4.83***
βGARCH	0.9918	763.48***
γleverage	0.0005	0.22
λ₁tau intercept	0.0301	2.68***
λ₂forecast adj.	0.2147	0.69
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0080	4.83***
β GARCH Volatility persistence	0.9918	763.48***
γ leverage Additional response to negative shocks	0.0005	0.22
λ₁ tau intercept Baseline long-term coefficient	0.0301	2.68***
λ₂ forecast adj. Forecast performance sensitivity	0.2147	0.69
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Chinese Renminbi Analyses