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, April 6th, 2026
1 Day
1.01%
decreased by 0.09%
1 Week
1.02%
decreased by 0.08%
1 Month
1.04%
decreased by 0.06%
Analysis last updated: Friday, April 3, 2026 at 08:54 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 | |
| 0.1722 | 12.40 | |
| 0.8249 | 113.17 | |
| 0.0059 | 0.28 |
Estimation Period:
Sep 30, 2003 to Apr 3, 2026
Sep 30, 2003 to Apr 3, 2026
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