HSI Volatility Index

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Param	Value	t-stat
mwindow	101
αARCH	0.1618	5.94***
βGARCH	0.8095	29.30***
γleverage	-0.1618	-4.33***
λ₁tau intercept	10.0000	0.77
λ₂forecast adj.	0.1971	0.71
λ₃tau persistence	0.4322	0.59

Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.1618	5.94***
β GARCH Volatility persistence	0.8095	29.30***
γ leverage Additional response to negative shocks	-0.1618	-4.33***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.77
λ₂ forecast adj. Forecast performance sensitivity	0.1971	0.71
λ₃ tau persistence Long-term factor persistence	0.4322	0.59

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HSI Volatility Index MF2-GARCH Volatility Analysis

Date Range:

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