V-Lab
Hong Kong Hang Seng Index EGARCH Volatility Analysis
Volatility prediction for Monday, August 31st, 2026
1 Day
16.78%
decreased by 0.87%
1 Week
17.07%
decreased by 0.58%
1 Month
18.13%
increased by 0.48%
Analysis last updated: Friday, August 28, 2026 at 09:08 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 28, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 103% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0193 | 15.95*** |
α ARCH Response to squared shocks | 0.1538 | 33.12*** |
β GARCH Volatility persistence | 0.9799 | 1,203.87*** |
γ leverage Additional response to negative shocks | -0.0522 | -13.43*** |
Persistence:
0.980
Half-life:
34 days
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