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 Wednesday, December 3rd, 2025:0.79% (-0.06%)

Analysis last updated: Tuesday, December 2, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.5919	2.71
$α$	0.2050	6.46
$β$	0.7885	28.32
$γ_{1}$	0.0804	0.26
$γ_{2}$	-0.0969	-0.22
$γ_{3}$	0.0759	0.32
$γ_{4}$	-0.2420	-1.07
$γ_{5}$	0.3838	2.18
$γ_{6}$	-0.1815	-1.15
$γ_{7}$	-0.2570	-1.34
$γ_{8}$	0.5464	2.81
$γ_{9}$	-0.4497	-2.61
$γ_{10}$	0.1283	1.06

Estimation Period:
Sep 30, 2003 to Nov 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts