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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 16, 2010 to Nov 19, 2021Model 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
| Parameter | Value | t-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
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