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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 30, 2003 to Jul 17, 2026Model 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
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| Parameter | Value | t-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
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