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 Monday, July 29th, 2024:0.62% (-0.01%)

Analysis last updated: Friday, July 26, 2024 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.4520	2.63
$α$	0.1357	7.53
$β$	0.8630	48.19
$γ_{1}$	-0.4008	-0.87
$γ_{2}$	0.8208	1.27
$γ_{3}$	-1.3100	-3.21
$γ_{4}$	2.0070	5.28
$γ_{5}$	-1.6640	-5.64
$γ_{6}$	0.7588	2.71
$γ_{7}$	-0.3321	-1.30
$γ_{8}$	0.0077	0.04
$γ_{9}$	0.3845	2.63
$γ_{10}$	-0.4389	-4.77

Estimation Period:
Sep 30, 2003 to Jul 26, 2024

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Volatility Forecasts

Volatility Forecasts