V-Lab
Barclays US Agg. Credit AA EGARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:2.83% (-0.02%)
Analysis last updated: Thursday, November 18, 2021 at 04:38 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0188 | -9.63 | |
| 0.1141 | 29.75 | |
| 0.9927 | 1563.34 | |
| -0.0002 | -0.07 |
Estimation Period:
Apr 23, 1996 to Nov 12, 2021
Apr 23, 1996 to Nov 12, 2021
News Impact Curve
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