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

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V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:0.85% (-0.03%)

Analysis last updated: Friday, May 10, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.4622	2.63
$α$	0.1373	7.39
$β$	0.8616	46.52
$γ_{1}$	-0.4308	-0.93
$γ_{2}$	0.8748	1.35
$γ_{3}$	-1.3293	-3.43
$γ_{4}$	1.9778	5.90
$γ_{5}$	-1.6622	-6.21
$γ_{6}$	0.8238	3.11
$γ_{7}$	-0.3749	-1.63
$γ_{8}$	-0.0267	-0.16
$γ_{9}$	0.4611	3.39
$γ_{10}$	-0.4973	-4.59

Estimation Period:
Sep 30, 2003 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts