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 Monday, February 10th, 2025:0.72% (-0.04%)

Analysis last updated: Sunday, February 9, 2025 at 03:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.4283	3.06
$α$	0.1698	5.78
$β$	0.8245	30.02
$γ_{1}$	0.0894	0.34
$γ_{2}$	-0.1257	-0.33
$γ_{3}$	0.0896	0.46
$γ_{4}$	-0.2056	-1.21
$γ_{5}$	0.3900	2.63
$γ_{6}$	-0.3585	-3.35
$γ_{7}$	0.0800	0.86
$γ_{8}$	0.1970	2.18
$γ_{9}$	-0.2636	-4.61

Estimation Period:
Sep 30, 2003 to Feb 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts