V-Lab: Hong Kong Dollar Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hong Kong Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:0.63% (-0.04%)

Analysis last updated: Friday, April 26, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.3114	2.61
$α$	0.1361	7.64
$β$	0.8628	48.34
$γ_{1}$	-0.4947	-1.02
$γ_{2}$	0.9874	1.48
$γ_{3}$	-1.4391	-3.76
$γ_{4}$	2.1082	6.61
$γ_{5}$	-1.7813	-6.81
$γ_{6}$	0.8959	3.40
$γ_{7}$	-0.3926	-1.71
$γ_{8}$	-0.0837	-0.48
$γ_{9}$	0.6303	3.21
$γ_{10}$	-0.8720	-3.10

Estimation Period:
Sep 30, 2003 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts