V-Lab: Hong Kong Dollar MF2-GARCH Volatility Analysis

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V-Lab

Hong Kong Dollar MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, January 15th, 2025:0.78% (-0.07%)

Analysis last updated: Tuesday, January 14, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.2098	18.60
$β$	0.6638	34.33
$γ$	-0.0089	-0.48
$λ_{1}$	0.0003	1.05
$λ_{2}$	0.8634	0.63
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 2, 1990 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts