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V-Lab

HSI Volatility Index AGARCH Volatility Analysis

Volatility prediction for Friday, August 7th, 2026

1 Day

55.07%

increased by 0.10%

1 Week

60.18%

increased by 5.21%

1 Month

72.92%

increased by 17.95%

Analysis last updated: Friday, August 7, 2026 at 08:40 PM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

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10Y ·

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graph of HSI Volatility Index AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jul 16, 2010 to Nov 19, 2021

Model Insight

The news-impact curve is shifted (γ = -2.21) 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

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.3581
13.02***
α

ARCH

Response to squared shocks

0.1023
27.19***
β

GARCH

Volatility persistence

0.8457
140.93***
γ

leverage

Additional response to negative shocks

-2.2092
-15.44***

Persistence:

0.948

Half-life:

13 days