V-Lab: Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:0.70% (-0.01%)

Analysis last updated: Friday, December 20, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.4146	3.08
$α$	0.1709	5.85
$β$	0.8234	30.26
$γ_{1}$	0.0873	0.32
$γ_{2}$	-0.1232	-0.32
$γ_{3}$	0.0931	0.47
$γ_{4}$	-0.2157	-1.25
$γ_{5}$	0.3950	2.68
$γ_{6}$	-0.3427	-3.36
$γ_{7}$	0.0411	0.47
$γ_{8}$	0.2430	2.80
$γ_{9}$	-0.2936	-5.04

Estimation Period:
Sep 30, 2003 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts