V-Lab
Barclays US Agg. Credit AA GJR-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:2.80% (-0.04%)
Analysis last updated: Thursday, November 18, 2021 at 04:38 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0002 | 11.76 | |
| 0.0499 | 17.81 | |
| 0.9456 | 512.82 | |
| -0.0012 | -0.26 |
Estimation Period:
Apr 23, 1996 to Nov 12, 2021
Apr 23, 1996 to Nov 12, 2021
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