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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.3453	4.31***
βGARCH	0.7806	48.54***
γleverage	-0.2520	-1.30
λ₁tau intercept	0.1912	0.01
λ₂forecast adj.	0.9776	0.28
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.3453	4.31***
β GARCH Volatility persistence	0.7806	48.54***
γ leverage Additional response to negative shocks	-0.2520	-1.30
λ₁ tau intercept Baseline long-term coefficient	0.1912	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.9776	0.28
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

US Dollar to Chinese Renminbi MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Chinese Renminbi Analyses