Chinese Renminbi GJR-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, June 15th, 2026
1 Day
1.70%
unchanged at 0.00%
1 Week
1.70%
unchanged at 0.00%
1 Month
1.71%
increased by 0.01%
Analysis last updated: Friday, June 12, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 6.00 | |
| 0.0372 | 16.75 | |
| 0.9663 | 742.18 | |
| -0.0070 | -1.92 |
Estimation Period:
Jul 29, 2005 to Jun 12, 2026
Jul 29, 2005 to Jun 12, 2026
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