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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.2201	26.19***
β GARCH Volatility persistence	0.7852	111.25***
γ leverage Additional response to negative shocks	-0.0117	-0.79
λ₁ tau intercept Baseline long-term coefficient	0.0249	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.6892	0.82

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Hong Kong Dollar MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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Other Hong Kong Dollar Analyses