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 Wednesday, January 15th, 2025:0.78% (-0.05%)

Analysis last updated: Tuesday, January 14, 2025 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.7038	3.23
$α$	0.1701	6.01
$β$	0.8248	31.08
$γ_{1}$	0.0945	0.35
$γ_{2}$	-0.1361	-0.35
$γ_{3}$	0.1022	0.51
$γ_{4}$	-0.2197	-1.27
$γ_{5}$	0.3920	2.64
$γ_{6}$	-0.3208	-3.08
$γ_{7}$	-0.0418	-0.48
$γ_{8}$	0.4533	3.74
$γ_{9}$	-0.7898	-3.02

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts