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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	7.4234	3.32***
αARCH	0.0414	33.31***
βGARCH	0.9987	2,406.44***
νDF	2.0006

Parameter	Value	t-statistic
ω const Unconditional variance weight	7.4234	3.32***
α ARCH Response to squared shocks	0.0414	33.31***
β GARCH Volatility persistence	0.9987	2,406.44***
ν DF Student-t tail thickness	2.0006

V-Lab

US Dollar to Chinese Renminbi GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chinese Renminbi Analyses