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

V-Lab

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V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 14th, 2025:0.99% (-0.02%)

Analysis last updated: Monday, January 13, 2025 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.4434	3.08
$α$	0.1702	5.83
$β$	0.8242	30.21
$γ_{1}$	0.0883	0.33
$γ_{2}$	-0.1242	-0.32
$γ_{3}$	0.0913	0.46
$γ_{4}$	-0.2117	-1.23
$γ_{5}$	0.3930	2.66
$γ_{6}$	-0.3481	-3.34
$γ_{7}$	0.0547	0.61
$γ_{8}$	0.2276	2.58
$γ_{9}$	-0.2844	-4.94

Estimation Period:
Sep 30, 2003 to Jan 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts