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, September 1st, 2025:2.42% (-0.29%)

Analysis last updated: Friday, August 29, 2025 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.5581	2.77
$α$	0.2022	6.44
$β$	0.7919	28.57
$γ_{1}$	0.0635	0.20
$γ_{2}$	-0.0711	-0.16
$γ_{3}$	0.0637	0.25
$γ_{4}$	-0.2343	-0.96
$γ_{5}$	0.3606	1.85
$γ_{6}$	-0.1354	-0.73
$γ_{7}$	-0.2954	-1.36
$γ_{8}$	0.5328	2.54
$γ_{9}$	-0.3736	-2.02
$γ_{10}$	0.0474	0.36

Estimation Period:
Sep 30, 2003 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts