Hong Kong Hang Seng Index Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
21.68%
increased by 0.09%
1 Week
21.94%
increased by 0.35%
1 Month
22.88%
increased by 1.29%
Analysis last updated: Thursday, July 16, 2026 at 09:09 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 10, 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 52 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2826 | 6.19*** |
α ARCH Response to squared shocks | 0.0712 | 9.09*** |
β GARCH Volatility persistence | 0.9156 | 109.68*** |
Spline Coefficients
K=1
| γ1 | 0.0019 | 2.36** |
Persistence:
0.987
Half-life:
52 days
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