HSI Volatility Index

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.0143	6.20***
αARCH	0.1005	5.43***
βGARCH	0.8377	29.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0143	6.20***
α ARCH Response to squared shocks	0.1005	5.43***
β GARCH Volatility persistence	0.8377	29.02***

V-Lab

HSI Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses