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

V-Lab

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V-Lab

Hong Kong Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:0.37% (-0.03%)

Analysis last updated: Friday, July 26, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.3291	2.66
$α$	0.1333	8.10
$β$	0.8656	52.78
$γ_{1}$	-0.4640	-0.97
$γ_{2}$	0.9373	1.40
$γ_{3}$	-1.4405	-3.52
$γ_{4}$	2.1684	5.90
$γ_{5}$	-1.7804	-6.14
$γ_{6}$	0.7755	2.74
$γ_{7}$	-0.2709	-1.04
$γ_{8}$	-0.1592	-0.77
$γ_{9}$	0.7367	3.47
$γ_{10}$	-1.1755	-3.47

Estimation Period:
Sep 30, 2003 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts