Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
0.32%
unchanged at 0.00%
1 Week
0.37%
increased by 0.05%
1 Month
0.51%
increased by 0.19%
Analysis last updated: Thursday, October 8, 2026 at 07:16 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 30, 2003 to Oct 2, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 101 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
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High persistence: persistence 0.993, shock half-life ~101 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.3668 | 2.76*** |
| αARCH | 0.1904 | 6.31*** |
| βGARCH | 0.8027 | 29.74*** |
Spline Coefficients
K=10
| γ1 | 0.0925 | 0.33 |
| γ2 | -0.1178 | -0.29 |
| γ3 | 0.0750 | 0.36 |
| γ4 | -0.2135 | -1.13 |
| γ5 | 0.3882 | 2.67*** |
| γ6 | -0.2785 | -2.89*** |
| γ7 | -0.1096 | -1.01 |
| γ8 | 0.4614 | 3.47*** |
| γ9 | -0.5151 | -3.60*** |
| γ10 | 0.2624 | 2.27** |
0.993
Persistence101d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.3668 | 2.76*** |
α ARCH Response to squared shocks | 0.1904 | 6.31*** |
β GARCH Volatility persistence | 0.8027 | 29.74*** |
Spline Coefficients
K=10
| γ1 | 0.0925 | 0.33 |
| γ2 | -0.1178 | -0.29 |
| γ3 | 0.0750 | 0.36 |
| γ4 | -0.2135 | -1.13 |
| γ5 | 0.3882 | 2.67*** |
| γ6 | -0.2785 | -2.89*** |
| γ7 | -0.1096 | -1.01 |
| γ8 | 0.4614 | 3.47*** |
| γ9 | -0.5151 | -3.60*** |
| γ10 | 0.2624 | 2.27** |
Persistence:
0.993
Half-life:
101 days
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