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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

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graph of Hong Kong Hang Seng Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Sep 25, 2026

Model 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

Tap to view equation

Asymmetry: negative returns raise volatility more
ParamValuet-stat
ωconst0.0247
2.49**
αARCH0.0784
9.21***
βGARCH0.9002
91.63***
γleverage0.5573
5.90***

0.979

Persistence

32d

Half-life
σ

AGARCH Model

Tap to view equation

ParameterValuet-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