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V-Lab

Hong Kong Dollar EGARCH Volatility Analysis

Volatility prediction for Monday, July 20th, 2026

1 Day

0.41%

increased by 0.06%

1 Week

0.45%

increased by 0.10%

1 Month

0.58%

increased by 0.23%

Analysis last updated: Friday, July 17, 2026 at 07:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Hong Kong Dollar EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Sep 30, 2003 to Jul 17, 2026

Model Insight

Volatility shocks decay with a half-life of 11 trading days, meaning a shock loses half its impact after approximately 11 days.

σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

-0.3504
-15.01***
α

ARCH

Response to squared shocks

0.3716
34.01***
β

GARCH

Volatility persistence

0.9395
252.56***
γ

leverage

Additional response to negative shocks

-0.0095
-1.11

Persistence:

0.940

Half-life:

11 days