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 Monday, April 29th, 2024:0.76% (-0.03%)

Analysis last updated: Friday, April 26, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.4645	2.63
$α$	0.1374	7.38
$β$	0.8614	46.36
$γ_{1}$	-0.4382	-0.94
$γ_{2}$	0.8851	1.37
$γ_{3}$	-1.3296	-3.46
$γ_{4}$	1.9692	5.96
$γ_{5}$	-1.6571	-6.26
$γ_{6}$	0.8288	3.16
$γ_{7}$	-0.3782	-1.67
$γ_{8}$	-0.0324	-0.20
$γ_{9}$	0.4709	3.45
$γ_{10}$	-0.5052	-4.51

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts