Hong Kong Hang Seng Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
22.38%
increased by 1.57%
1 Week
22.38%
increased by 1.57%
1 Month
22.37%
increased by 1.56%
Analysis last updated: Monday, July 20, 2026 at 09:02 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 58 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1916 | 6.35*** |
α ARCH Response to squared shocks | 0.0713 | 9.06*** |
β GARCH Volatility persistence | 0.9169 | 106.75*** |
Spline Coefficients
K=1
| γ1 | 0.0003 | 1.24 |
Persistence:
0.988
Half-life:
58 days
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