HSI Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
71.28%
decreased by 0.41%
1 Week
74.60%
increased by 2.91%
1 Month
82.19%
increased by 10.50%
Analysis last updated: Friday, October 16, 2026 at 11:49 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 16, 2010 to Oct 8, 2026Model Insight
The news-impact curve is shifted (γ = -3.05) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.6227 | 3.05*** |
| αARCH | 0.1097 | 7.62*** |
| βGARCH | 0.8110 | 25.86*** |
| γleverage | -3.0454 | -3.76*** |
0.921
Persistence8d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.6227 | 3.05*** |
α ARCH Response to squared shocks | 0.1097 | 7.62*** |
β GARCH Volatility persistence | 0.8110 | 25.86*** |
γ leverage Additional response to negative shocks | -3.0454 | -3.76*** |
Persistence:
0.921
Half-life:
8 days
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