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, May 25th, 2026
1 Day
0.46%
decreased by 0.04%
1 Week
0.48%
decreased by 0.02%
1 Month
0.53%
increased by 0.03%
Analysis last updated: Sunday, May 24, 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 | 12.44 | |
| 0.8243 | 113.68 | |
| 0.0067 | 0.31 |
Estimation Period:
Sep 30, 2003 to May 22, 2026
Sep 30, 2003 to May 22, 2026
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