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Parameter	Value	t-statistic
m window Rolling window length	116
α ARCH Response to squared shocks	0.2195	26.00***
β GARCH Volatility persistence	0.7847	110.29***
γ leverage Additional response to negative shocks	-0.0092	-0.62
λ₁ tau intercept Baseline long-term coefficient	0.0259	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.7401	1.68*

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Hong Kong Dollar MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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