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 Wednesday, June 10th, 2026
1 Day
1.75%
decreased by 0.03%
1 Week
1.76%
decreased by 0.02%
1 Month
1.77%
decreased by 0.01%
Analysis last updated: Tuesday, June 9, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 6.00 | |
| 0.0369 | 16.74 | |
| 0.9665 | 745.76 | |
| -0.0068 | -1.88 |
Estimation Period:
Jul 29, 2005 to Jun 5, 2026
Jul 29, 2005 to Jun 5, 2026
Other GJR-GARCH Analyses on Currencies