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

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V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 1st, 2023:1.41% (+0.32%)

Analysis last updated: Thursday, November 30, 2023 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.2588	2.59
$α$	0.1395	7.24
$β$	0.8594	44.53
$γ_{1}$	-0.5080	-1.05
$γ_{2}$	1.0008	1.52
$γ_{3}$	-1.3634	-3.91
$γ_{4}$	1.8957	7.30
$γ_{5}$	-1.5983	-7.25
$γ_{6}$	0.8614	3.79
$γ_{7}$	-0.3846	-2.16
$γ_{8}$	-0.1132	-0.85
$γ_{9}$	0.5833	3.57
$γ_{10}$	-0.5836	-3.82

Estimation Period:
Sep 30, 2003 to Nov 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts