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 Tuesday, July 1st, 2025:0.39% (0.00%)

Analysis last updated: Monday, June 30, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.7530	2.88
$α$	0.2033	6.53
$β$	0.7911	28.64
$γ_{1}$	0.0575	0.17
$γ_{2}$	-0.0619	-0.13
$γ_{3}$	0.0593	0.23
$γ_{4}$	-0.2289	-0.90
$γ_{5}$	0.3417	1.65
$γ_{6}$	-0.0984	-0.49
$γ_{7}$	-0.3369	-1.45
$γ_{8}$	0.5680	2.63
$γ_{9}$	-0.4179	-2.48
$γ_{10}$	0.0971	1.02

Estimation Period:
Sep 30, 2003 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts