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 Monday, January 30th, 2023:0.87% (-0.06%)

Analysis last updated: Friday, January 27, 2023, 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.0982	2.33
$α$	0.1445	6.48
$β$	0.8532	39.00
$γ_{1}$	-0.6204	-1.26
$γ_{2}$	1.1796	1.82
$γ_{3}$	-1.3839	-4.87
$γ_{4}$	1.7308	11.02
$γ_{5}$	-1.4937	-8.06
$γ_{6}$	0.9182	4.55
$γ_{7}$	-0.3620	-2.24
$γ_{8}$	-0.2381	-1.25
$γ_{9}$	0.5944	2.43
$γ_{10}$	-0.4729	-2.27

Estimation Period:
Sep 30, 2003 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts