V-Lab: HSI Volatility Index GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

HSI Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, January 10th, 2025:67.75% (-1.35%)

Analysis last updated: Friday, January 10, 2025 at 09:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5007	10.51
$α$	0.1194	15.79
$β$	0.8813	140.49
$γ$	-0.1139	-11.70

Estimation Period:
Jul 16, 2010 to Nov 19, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts