V-Lab
Hong Kong Hang Seng Index Asy. MEM Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
17.56%
decreased by 0.69%
1 Week
17.69%
decreased by 0.56%
1 Month
18.21%
decreased by 0.04%
Analysis last updated: Monday, August 10, 2026 at 09:11 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 7, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 359 trading days (~1.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 39% more than positive returns
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0117 | 23.81*** |
α ARCH Response to squared shocks | 0.1087 | 33.36*** |
β GARCH Volatility persistence | 0.8685 | 427.61*** |
γ leverage Additional response to negative shocks | 0.0419 | 7.90*** |
Persistence:
0.998
Half-life:
359 days
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