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Param	Value	t-stat
ωconst	4.3732	2.75***
αARCH	0.1915	6.33***
βGARCH	0.8016	29.68***

γ₁	0.0920	0.32
γ₂	-0.1167	-0.29
γ₃	0.0748	0.35
γ₄	-0.2154	-1.13
γ₅	0.3893	2.66***
γ₆	-0.2746	-2.80***
γ₇	-0.1166	-1.03
γ₈	0.4639	3.37***
γ₉	-0.5048	-3.44***
γ₁₀	0.2466	2.10**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3732	2.75***
α ARCH Response to squared shocks	0.1915	6.33***
β GARCH Volatility persistence	0.8016	29.68***

γ₁	0.0920	0.32
γ₂	-0.1167	-0.29
γ₃	0.0748	0.35
γ₄	-0.2154	-1.13
γ₅	0.3893	2.66***
γ₆	-0.2746	-2.80***
γ₇	-0.1166	-1.03
γ₈	0.4639	3.37***
γ₉	-0.5048	-3.44***
γ₁₀	0.2466	2.10**

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