Hong Kong Dollar GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, June 10th, 2026
1 Day
0.36%
decreased by 0.02%
1 Week
0.38%
increased by 0.00%
1 Month
0.45%
increased by 0.07%
Analysis last updated: Tuesday, June 9, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 14.50 | |
| 0.1721 | 12.44 | |
| 0.8245 | 113.93 | |
| 0.0068 | 0.32 |
Estimation Period:
Sep 30, 2003 to Jun 5, 2026
Sep 30, 2003 to Jun 5, 2026
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