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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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Oct 16, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 102% more than equivalent positive returns.
σ
EGARCH Model
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Leverage: Negative returns increase volatility 102% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0192 | 3.98*** |
| αARCH | 0.1536 | 8.30*** |
| βGARCH | 0.9801 | 301.93*** |
| γleverage | -0.0518 | -3.34*** |
0.980
Persistence34d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-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
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