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Parameter	Value	t-statistic
ω const Unconditional variance weight	4.3080	2.66***
α ARCH Response to squared shocks	0.1937	6.29***
β GARCH Volatility persistence	0.7990	29.29***

γ₁	0.0947	0.33
γ₂	-0.1205	-0.30
γ₃	0.0781	0.36
γ₄	-0.2211	-1.15
γ₅	0.3927	2.66***
γ₆	-0.2696	-2.66***
γ₇	-0.1267	-1.06
γ₈	0.4681	3.24***
γ₉	-0.4927	-3.24***
γ₁₀	0.2275	1.90*

V-Lab

Hong Kong Dollar Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hong Kong Dollar Analyses