HSI Volatility Index

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Param	Value	t-stat
mwindow	126
αARCH	0.1523	6.26***
βGARCH	0.8360	31.13***
γleverage	-0.1523	-4.66***
λ₁tau intercept	0.1083	0.29
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9958	76.36***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.1523	6.26***
β GARCH Volatility persistence	0.8360	31.13***
γ leverage Additional response to negative shocks	-0.1523	-4.66***
λ₁ tau intercept Baseline long-term coefficient	0.1083	0.29
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9958	76.36***

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HSI Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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