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Param	Value	t-stat
mwindow	106
αARCH	0.2206	8.24***
βGARCH	0.7853	32.33***
γleverage	-0.0128	-0.22
λ₁tau intercept	0.0292	7.27***
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.6754	4.51***

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.2206	8.24***
β GARCH Volatility persistence	0.7853	32.33***
γ leverage Additional response to negative shocks	-0.0128	-0.22
λ₁ tau intercept Baseline long-term coefficient	0.0292	7.27***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.6754	4.51***

V-Lab

Hong Kong Dollar MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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Other Hong Kong Dollar Analyses