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

V-Lab

Hong Kong Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 25th, 2025:0.42% (-0.04%)

Analysis last updated: Thursday, April 24, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.7545	3.23
$α$	0.1669	5.88
$β$	0.8283	30.84
$γ_{1}$	0.0966	0.37
$γ_{2}$	-0.1394	-0.37
$γ_{3}$	0.0973	0.51
$γ_{4}$	-0.2023	-1.22
$γ_{5}$	0.3833	2.55
$γ_{6}$	-0.3493	-3.01
$γ_{7}$	0.0265	0.28
$γ_{8}$	0.3819	3.43
$γ_{9}$	-0.8525	-2.96

Estimation Period:
Sep 30, 2003 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts