Hong Kong Dollar GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
0.29%
decreased by 0.02%
1 Week
0.32%
increased by 0.01%
1 Month
0.40%
increased by 0.09%
Analysis last updated: Sunday, June 14, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0000 | 14.50 | |
| 0.1723 | 12.45 | |
| 0.8244 | 113.83 | |
| 0.0066 | 0.31 |
Estimation Period:
Sep 30, 2003 to Jun 12, 2026
Sep 30, 2003 to Jun 12, 2026
Other Hong Kong Dollar Analyses
Other GJR-GARCH Analyses on Currencies