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

V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 17th, 2025:0.87% (-0.05%)

Analysis last updated: Tuesday, September 16, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.5794	2.73
$α$	0.2043	6.45
$β$	0.7895	28.36
$γ_{1}$	0.0690	0.21
$γ_{2}$	-0.0789	-0.17
$γ_{3}$	0.0669	0.27
$γ_{4}$	-0.2362	-0.99
$γ_{5}$	0.3646	1.90
$γ_{6}$	-0.1416	-0.78
$γ_{7}$	-0.2927	-1.37
$γ_{8}$	0.5408	2.60
$γ_{9}$	-0.3934	-2.17
$γ_{10}$	0.0671	0.53

Estimation Period:
Sep 30, 2003 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts