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

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V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 13th, 2025:0.63% (-0.02%)

Analysis last updated: Wednesday, March 12, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.8244	3.09
$α$	0.1789	6.33
$β$	0.8160	30.93
$γ_{1}$	0.0554	0.52
$γ_{2}$	-0.0582	-0.32
$γ_{3}$	-0.0579	-0.43
$γ_{4}$	0.1977	2.07
$γ_{5}$	-0.2747	-3.86
$γ_{6}$	0.2719	4.67
$γ_{7}$	-0.2070	-5.23

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts