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, April 21st, 2025:0.79% (-0.03%)

Analysis last updated: Friday, April 18, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.7840	3.10
$α$	0.1776	6.29
$β$	0.8172	30.93
$γ_{1}$	0.0557	0.53
$γ_{2}$	-0.0601	-0.34
$γ_{3}$	-0.0537	-0.41
$γ_{4}$	0.1924	2.03
$γ_{5}$	-0.2692	-3.77
$γ_{6}$	0.2651	4.58
$γ_{7}$	-0.2015	-5.30

Estimation Period:
Sep 30, 2003 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts