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V-Lab

Hong Kong Hang Seng Index EGARCH Volatility Analysis

Volatility prediction for Tuesday, October 20th, 2026

1 Day

17.98%

decreased by 0.59%

1 Week

18.23%

decreased by 0.34%

1 Month

19.17%

increased by 0.60%

Analysis last updated: Friday, October 16, 2026 at 09:09 AM UTC

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Date Range:

from

10/16/2024

to

10/16/2026

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 Oct 16, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 102% more than equivalent positive returns.

σ

EGARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 102% more than positive returns
ParamValuet-stat
ωconst0.0192
3.98***
αARCH0.1536
8.30***
βGARCH0.9801
301.93***
γleverage-0.0518
-3.34***

0.980

Persistence

34d

Half-life
σ

EGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0192
3.98***
α

ARCH

Response to squared shocks

0.1536
8.30***
β

GARCH

Volatility persistence

0.9801
301.93***
γ

leverage

Additional response to negative shocks

-0.0518
-3.34***

Persistence:

0.980

Half-life:

34 days