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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3309	2.66***
α ARCH Response to squared shocks	0.1946	6.30***
β GARCH Volatility persistence	0.7982	29.23***

γ₁	0.0941	0.33
γ₂	-0.1190	-0.29
γ₃	0.0774	0.36
γ₄	-0.2230	-1.14
γ₅	0.3941	2.65***
γ₆	-0.2652	-2.54**
γ₇	-0.1349	-1.08
γ₈	0.4707	3.17***
γ₉	-0.4807	-3.10***
γ₁₀	0.2092	1.72*

V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hong Kong Dollar Analyses