Chinese Renminbi MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, July 20th, 2026
1 Day
1.97%
1 Week
1.99%
1 Month
2.11%
Analysis last updated: Friday, July 17, 2026 at 07:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 346573 trading days (~1375.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0070 | |
β GARCH Volatility persistence | 0.9918 | |
γ leverage Additional response to negative shocks | 0.0023 | |
λ₁ tau intercept Baseline long-term coefficient | 0.0332 | |
λ₂ forecast adj. Forecast performance sensitivity | 0.1489 | |
λ₃ tau persistence Long-term factor persistence | 0.0000 |
Persistence:
1.000
Half-life:
346573 days
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