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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0090	1.65*
β GARCH Volatility persistence	0.9916	151.00***
γ leverage Additional response to negative shocks	-0.0013	-0.55
λ₁ tau intercept Baseline long-term coefficient	0.0105	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.1519	0.09
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Chinese Renminbi MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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