HSI Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0298	6.08***
α ARCH Response to squared shocks	0.0837	7.89***
β GARCH Volatility persistence	0.9157	94.85***
γ leverage Additional response to negative shocks	0.3704	4.10***
δ power Transformation power	1.0569	7.00***

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Hong Kong Hang Seng Index APARCH Volatility Analysis

Date Range:

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