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

V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:1.46% (-0.10%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.7903	3.12
$α$	0.1785	6.29
$β$	0.8163	30.72
$γ_{1}$	0.0564	0.55
$γ_{2}$	-0.0619	-0.36
$γ_{3}$	-0.0509	-0.39
$γ_{4}$	0.1895	2.00
$γ_{5}$	-0.2678	-3.75
$γ_{6}$	0.2663	4.60
$γ_{7}$	-0.2039	-5.52

Estimation Period:
Sep 30, 2003 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts