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

V-Lab

| |

V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:0.67% (0.00%)

Analysis last updated: Wednesday, April 24, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.2716	2.58
$α$	0.1374	7.32
$β$	0.8613	46.12
$γ_{1}$	-0.4355	-0.94
$γ_{2}$	0.8819	1.37
$γ_{3}$	-1.3249	-3.48
$γ_{4}$	1.9565	6.03
$γ_{5}$	-1.6429	-6.29
$γ_{6}$	0.8194	3.15
$γ_{7}$	-0.3696	-1.66
$γ_{8}$	-0.0415	-0.26
$γ_{9}$	0.4781	3.49
$γ_{10}$	-0.5082	-4.45

Estimation Period:
Sep 30, 2003 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts