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	0.6421	5.59***
αARCH	0.1008	5.63***
βGARCH	0.8122	23.02***

γ₁	-0.9784	-3.12***
γ₂	1.5715	3.13***
γ₃	-0.9628	-2.62***
γ₄	0.5958	1.98**
γ₅	-0.3656	-1.32
γ₆	0.2230	0.78
γ₇	-0.3404	-1.15
γ₈	0.8830	2.55**
γ₉	-2.0120	-2.32**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6421	5.59***
α ARCH Response to squared shocks	0.1008	5.63***
β GARCH Volatility persistence	0.8122	23.02***

γ₁	-0.9784	-3.12***
γ₂	1.5715	3.13***
γ₃	-0.9628	-2.62***
γ₄	0.5958	1.98**
γ₅	-0.3656	-1.32
γ₆	0.2230	0.78
γ₇	-0.3404	-1.15
γ₈	0.8830	2.55**
γ₉	-2.0120	-2.32**

V-Lab

HSI Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other HSI Volatility Index Analyses