US Dollar to 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 Friday, May 29th, 2026
1 Day
2.01%
decreased by 0.04%
1 Week
2.02%
decreased by 0.03%
1 Month
2.03%
decreased by 0.02%
Analysis last updated: Thursday, May 28, 2026 at 07:04 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 6.33 | |
| 0.0364 | 16.73 | |
| 0.9669 | 774.75 | |
| -0.0065 | -1.87 |
Estimation Period:
Sep 14, 2005 to May 22, 2026
Sep 14, 2005 to May 22, 2026
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