V-Lab: Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 18th, 2024:0.75% (+0.05%)

Analysis last updated: Tuesday, September 17, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.4833	3.10
$α$	0.1757	6.05
$β$	0.8186	30.55
$γ_{1}$	0.0845	0.30
$γ_{2}$	-0.1190	-0.30
$γ_{3}$	0.0977	0.48
$γ_{4}$	-0.2333	-1.29
$γ_{5}$	0.4043	2.77
$γ_{6}$	-0.3139	-3.30
$γ_{7}$	-0.0345	-0.39
$γ_{8}$	0.3463	3.58
$γ_{9}$	-0.3714	-5.09

Estimation Period:
Sep 30, 2003 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts