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

Table 3

Parameter estimates of the GJR-MSGARCH (1, 1)-t model.

	RUSD		RJPY		RHKD
	Mean	SD	Mean	SD	Mean	SD
	0.0040	0.0023	0.0702	0.0913	0.0044	0.0019
	0.4366	0.2044	0.1204	0.1203	0.3226	0.1373
	0.0063	0.0110	0.1856	0.2403	0.0046	0.0081
	0.2026	0.3506	0.4516	0.4157	0.1516	0.2839
	6.0082	5.0719	7.4159	3.4021	5.7605	5.0877
	0.0013	0.0024	0.1579	0.2007	0.0007	0.0018
	0.2122	0.2156	0.0842	0.0816	0.1363	0.1239
	0.0181	0.0112	0.0604	0.1312	0.0186	0.0083
	0.6975	0.3550	0.5876	0.4236	0.7847	0.2881
	11.2659	5.5452	7.1575	3.9709	14.7782	6.6129
	0.9786	0.0048	0.9413	0.0369	0.9767	0.0048
	0.0168	0.0055	0.0504	0.0512	0.0155	0.0058