V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

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V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:2.75% (+0.12%)

Analysis last updated: Sunday, January 29, 2023, 01:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	101
$α$	0.5500	5499970.00
$β$	0.6419	6418770.00
$γ$	-0.3837	-3837480.00
$λ_{1}$	0.0000	0.50
$λ_{2}$	0.0199	83.76
$λ_{3}$	0.9801	3643.36

Estimation Period:
Jan 2, 1990 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts