HSI Volatility Index

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	2.0532	2.80***
αARCH	0.1006	4.96***
βGARCH	0.8368	30.18***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0532	2.80***
α ARCH Response to squared shocks	0.1006	4.96***
β GARCH Volatility persistence	0.8368	30.18***

V-Lab

HSI Volatility Index GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses