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 Thursday, April 17th, 2025:0.81% (-0.05%)

Analysis last updated: Wednesday, April 16, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.8020	3.11
$α$	0.1778	6.30
$β$	0.8171	30.97
$γ_{1}$	0.0558	0.53
$γ_{2}$	-0.0602	-0.34
$γ_{3}$	-0.0538	-0.41
$γ_{4}$	0.1929	2.03
$γ_{5}$	-0.2700	-3.78
$γ_{6}$	0.2665	4.60
$γ_{7}$	-0.2027	-5.32

Estimation Period:
Sep 30, 2003 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts