HSI Volatility Index

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Param	Value	t-stat
ωconst	0.7142	6.86***
αARCH	0.0999	5.49***
βGARCH	0.8073	23.23***

γ₁	-0.6295	-3.09***
γ₂	1.0621	3.17***
γ₃	-0.7501	-2.70***
γ₄	0.5417	2.08**
γ₅	-0.3623	-1.70*
γ₆	0.0918	0.49
γ₇	0.2405	1.65*
γ₈	-0.3016	-2.55**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7142	6.86***
α ARCH Response to squared shocks	0.0999	5.49***
β GARCH Volatility persistence	0.8073	23.23***

γ₁	-0.6295	-3.09***
γ₂	1.0621	3.17***
γ₃	-0.7501	-2.70***
γ₄	0.5417	2.08**
γ₅	-0.3623	-1.70*
γ₆	0.0918	0.49
γ₇	0.2405	1.65*
γ₈	-0.3016	-2.55**

V-Lab

HSI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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