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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.9901	288.81***
γ leverage Additional response to negative shocks	0.0198	10.66***
λ₁ tau intercept Baseline long-term coefficient	0.0007	1.82*
λ₂ forecast adj. Forecast performance sensitivity	0.2211	1.06
λ₃ tau persistence Long-term factor persistence	0.0376	0.14

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