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 Tuesday, July 7th, 2026
1 Day
0.34%
unchanged at 0.00%
1 Week
0.36%
increased by 0.02%
1 Month
0.44%
increased by 0.10%
Analysis last updated: Monday, July 6, 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 | |
| 0.1719 | 12.47 | |
| 0.8244 | 114.04 | |
| 0.0074 | 0.35 |
Estimation Period:
Sep 30, 2003 to Jul 3, 2026
Sep 30, 2003 to Jul 3, 2026
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