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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Aug 14, 2026Model 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
| Parameter | Value | t-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
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