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Param	Value	t-stat
ωconst	4.3015	2.74***
αARCH	0.1893	6.28***
βGARCH	0.8037	29.76***

γ₁	0.0912	0.33
γ₂	-0.1168	-0.29
γ₃	0.0749	0.36
γ₄	-0.2115	-1.14
γ₅	0.3868	2.67***
γ₆	-0.2818	-2.97***
γ₇	-0.1016	-0.98
γ₈	0.4545	3.57***
γ₉	-0.5193	-3.79***
γ₁₀	0.2743	2.47**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3015	2.74***
α ARCH Response to squared shocks	0.1893	6.28***
β GARCH Volatility persistence	0.8037	29.76***

γ₁	0.0912	0.33
γ₂	-0.1168	-0.29
γ₃	0.0749	0.36
γ₄	-0.2115	-1.14
γ₅	0.3868	2.67***
γ₆	-0.2818	-2.97***
γ₇	-0.1016	-0.98
γ₈	0.4545	3.57***
γ₉	-0.5193	-3.79***
γ₁₀	0.2743	2.47**

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