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 Friday, June 2nd, 2023:0.93% (-0.06%)

Analysis last updated: Thursday, June 1, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.6618	2.54
$α$	0.1425	6.87
$β$	0.8559	41.45
$γ_{1}$	-0.5582	-1.14
$γ_{2}$	1.0831	1.66
$γ_{3}$	-1.3603	-4.41
$γ_{4}$	1.7801	9.25
$γ_{5}$	-1.5218	-8.18
$γ_{6}$	0.8905	4.48
$γ_{7}$	-0.3654	-2.49
$γ_{8}$	-0.2178	-1.52
$γ_{9}$	0.6687	3.45
$γ_{10}$	-0.6065	-3.57

Estimation Period:
Sep 30, 2003 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts