HSI Volatility Index

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Param	Value	t-stat
ωconst	29.2374	1.80*
αARCH	0.1092	4.23***
βGARCH	0.9394	28.74***
νDF	4.6358	1.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	29.2374	1.80*
α ARCH Response to squared shocks	0.1092	4.23***
β GARCH Volatility persistence	0.9394	28.74***
ν DF Student-t tail thickness	4.6358	1.40

V-Lab

HSI Volatility Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses