V-Lab
Hong Kong Hang Seng Index AGARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
17.23%
increased by 0.77%
1 Week
17.57%
increased by 1.11%
1 Month
18.70%
increased by 2.24%
Analysis last updated: Friday, September 25, 2026 at 09:09 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 25, 2026Model Insight
The news-impact curve is shifted (γ = 0.56) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.
σ
AGARCH Model
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Asymmetry: negative returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0247 | 2.49** |
| αARCH | 0.0784 | 9.21*** |
| βGARCH | 0.9002 | 91.63*** |
| γleverage | 0.5573 | 5.90*** |
0.979
Persistence32d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0247 | 2.49** |
α ARCH Response to squared shocks | 0.0784 | 9.21*** |
β GARCH Volatility persistence | 0.9002 | 91.63*** |
γ leverage Additional response to negative shocks | 0.5573 | 5.90*** |
Persistence:
0.979
Half-life:
32 days
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