V-Lab: Chinese Renminbi MF2-GARCH Volatility Analysis

Skip to main content

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 21st, 2025:1.94% (-0.02%)

Analysis last updated: Monday, October 20, 2025 at 11:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0125	124,720.00
$β$	0.9905	9,904,640.00
$γ$	-0.0059	-58,760.00
$λ_{1}$	0.0295	294,980.00
$λ_{2}$	0.1046	1,046,400.00
$λ_{3}$	0.3390	3,389,880.00

Estimation Period:
Jan 2, 1990 to Oct 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts