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Param	Value	t-stat
ωconst	4.3274	2.71***
αARCH	0.1919	6.31***
βGARCH	0.8011	29.62***

γ₁	0.0921	0.32
γ₂	-0.1170	-0.29
γ₃	0.0755	0.36
γ₄	-0.2170	-1.13
γ₅	0.3903	2.66***
γ₆	-0.2729	-2.75***
γ₇	-0.1202	-1.04
γ₈	0.4657	3.33***
γ₉	-0.5014	-3.38***
γ₁₀	0.2407	2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3274	2.71***
α ARCH Response to squared shocks	0.1919	6.31***
β GARCH Volatility persistence	0.8011	29.62***

γ₁	0.0921	0.32
γ₂	-0.1170	-0.29
γ₃	0.0755	0.36
γ₄	-0.2170	-1.13
γ₅	0.3903	2.66***
γ₆	-0.2729	-2.75***
γ₇	-0.1202	-1.04
γ₈	0.4657	3.33***
γ₉	-0.5014	-3.38***
γ₁₀	0.2407	2.05**

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