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 Monday, June 2nd, 2025:0.77% (-0.02%)

Analysis last updated: Friday, May 30, 2025 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.7578	3.11
$α$	0.1786	6.27
$β$	0.8162	30.61
$γ_{1}$	0.0575	0.56
$γ_{2}$	-0.0644	-0.38
$γ_{3}$	-0.0479	-0.37
$γ_{4}$	0.1863	1.98
$γ_{5}$	-0.2648	-3.70
$γ_{6}$	0.2630	4.55
$γ_{7}$	-0.2013	-5.50

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts