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Param	Value	t-stat
mwindow	116
αARCH	0.2194	8.17***
βGARCH	0.7854	32.42***
γleverage	-0.0103	-0.17
λ₁tau intercept	0.0250	14.85***
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.7308	6.33***

Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.2194	8.17***
β GARCH Volatility persistence	0.7854	32.42***
γ leverage Additional response to negative shocks	-0.0103	-0.17
λ₁ tau intercept Baseline long-term coefficient	0.0250	14.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7308	6.33***

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Hong Kong Dollar MF2-GARCH Volatility Analysis

Date Range:

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Other Hong Kong Dollar Analyses