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V-Lab

Hong Kong Hang Seng Index GJR-GARCH Volatility Analysis

Volatility prediction for Friday, August 21st, 2026

1 Day

16.60%

decreased by 0.32%

1 Week

16.93%

increased by 0.01%

1 Month

18.04%

increased by 1.12%

Analysis last updated: Thursday, August 20, 2026 at 09:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Hong Kong Hang Seng Index GJR-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1990 to Aug 14, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 185% more than equivalent positive returns.

σ

GJR-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0417
19.96***
α

ARCH

Response to squared shocks

0.0411
13.22***
β

GARCH

Volatility persistence

0.9030
387.39***
γ

leverage

Additional response to negative shocks

0.0758
14.08***

Persistence:

0.982

Half-life:

38 days