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

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V-Lab

Hong Kong Dollar Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:1.13% (+0.01%)

Analysis last updated: Friday, September 22, 2023 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	3.1085	2.58
$α$	0.1409	6.96
$β$	0.8581	42.16
$γ_{1}$	-0.5722	-1.15
$γ_{2}$	1.1103	1.66
$γ_{3}$	-1.4324	-4.34
$γ_{4}$	1.9260	8.53
$γ_{5}$	-1.6300	-7.94
$γ_{6}$	0.9097	4.28
$γ_{7}$	-0.4047	-2.54
$γ_{8}$	-0.0915	-0.72
$γ_{9}$	0.4253	2.40
$γ_{10}$	-0.0942	-0.35

Estimation Period:
Sep 30, 2003 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts