US Dollar to Chinese Renminbi Zero Slope Spline-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, October 23rd, 2026
1 Day
0.80%
1 Week
0.80%
1 Month
0.80%
Analysis last updated: Thursday, October 22, 2026 at 08:07 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 6, 1992 to Oct 16, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 693147 trading days (~2750.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Zero Slope Spline-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1560 | |
| αARCH | 0.0506 | |
| βGARCH | 0.9494 |
| γ1 | 1.6301 | |
| γ2 | -2.3545 | |
| γ3 | 0.9088 | |
| γ4 | -0.5667 | |
| γ5 | 0.7825 | |
| γ6 | -0.5079 | |
| γ7 | 0.1410 | |
| γ8 | -0.0736 |
1.000
Persistence693147d
Half-lifeZero Slope Spline-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1560 | |
α ARCH Response to squared shocks | 0.0506 | |
β GARCH Volatility persistence | 0.9494 |
| γ1 | 1.6301 | |
| γ2 | -2.3545 | |
| γ3 | 0.9088 | |
| γ4 | -0.5667 | |
| γ5 | 0.7825 | |
| γ6 | -0.5079 | |
| γ7 | 0.1410 | |
| γ8 | -0.0736 |
Persistence:
1.000
Half-life:
693147 days
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