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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωlong-run	0.0194	2.00**
αscore	0.1108	40.95***
βpersistence	0.9990	2,026.37***
νDF	2.0986	1,062.60***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.0194	2.00**
α score Weight on the scaled score	0.1108	40.95***
β persistence Volatility persistence	0.9990	2,026.37***
ν DF Student-t tail thickness	2.0986	1,062.60***

V-Lab

Hong Kong Dollar GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hong Kong Dollar Analyses