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, August 4th, 2025:0.31% (-0.01%)

Analysis last updated: Friday, August 1, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.8499	2.91
$α$	0.2041	6.65
$β$	0.7905	29.03
$γ_{1}$	0.0620	0.19
$γ_{2}$	-0.0709	-0.15
$γ_{3}$	0.0682	0.27
$γ_{4}$	-0.2379	-0.96
$γ_{5}$	0.3531	1.75
$γ_{6}$	-0.1108	-0.57
$γ_{7}$	-0.3414	-1.51
$γ_{8}$	0.6152	2.91
$γ_{9}$	-0.5156	-3.14
$γ_{10}$	0.1923	2.13

Estimation Period:
Sep 30, 2003 to Aug 1, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts