Forecasting Renminbi Exchange Rate Volatility Using CARR-MIDAS Model

Table 1

Descriptive statistics for the USD/CNY daily returns and ranges for the period January 2, 2006, to December 31, 2020.

	Return	Absolute return	Range
Mean	−0.0001	0.0010	0.0011
Min.	−0.0144	0.0000	0.0000
Max.	0.0181	0.0181	0.0093
Std. Dev.	0.0017	0.0014	0.0009
Skewness	0.4067	3.5882	2.1745
Kurtosis	15.9693	24.8488	10.7412
Jarque–Bera	26138.8708	81865.2329	12207.1151
Q(12)	36.9645	2015.4260	11143.1941

Note: Q(12) is the Ljung-Box statistic for autocorrelation up to 12 lags.