Research on RMB Exchange Rate Volatility Risk Based on MSGARCH-VaR Model

Table 1

Summary statistics of RMB exchange rate log-returns.

Statistic	RUSD	RJPY	RHKD
Mean	−0.001150	−0.007121	0.001001
Maximum	1.840324	3.627312	1.841136
Minimum	−1.065088	−5.149659	−1.131160
Standard deviation	0.169035	0.555590	0.167636
Kurtosis	17.49784	10.19034	17.34420
Skewness	0.983511	−0.365176	0.982192
Jarque-Bera	20638.60	5036.266	20210.37
ADF	−43.72090	−46.32599	−44.21325
ARCH-LM	417.1975	12.04013	400.9284

Note., means rejection of the null hypothesis at the 5% and 1% level, respectively.