Skip to main content
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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Hong Kong Hang Seng Index EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Aug 28, 2026

Model 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

ParameterValuet-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