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 Friday, April 26th, 2024:0.67% (+0.09%)

Analysis last updated: Thursday, April 25, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.3026	2.61
$α$	0.1364	7.59
$β$	0.8626	47.98
$γ_{1}$	-0.4968	-1.03
$γ_{2}$	0.9912	1.49
$γ_{3}$	-1.4383	-3.79
$γ_{4}$	2.1002	6.70
$γ_{5}$	-1.7773	-6.88
$γ_{6}$	0.9032	3.46
$γ_{7}$	-0.4012	-1.77
$γ_{8}$	-0.0786	-0.46
$γ_{9}$	0.6214	3.21
$γ_{10}$	-0.8466	-3.08

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts