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 20th, 2026
1 Day
0.79%
decreased by 0.06%
1 Week
0.80%
decreased by 0.05%
1 Month
0.84%
decreased by 0.01%
Analysis last updated: Friday, April 17, 2026 at 07:05 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 | |
| 0.8248 | 113.63 | |
| 0.0059 | 0.27 |
Estimation Period:
Sep 30, 2003 to Apr 17, 2026
Sep 30, 2003 to Apr 17, 2026
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