V-Lab
V-Lab
Barclays US Agg. Credit AA GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:2.76% (-0.04%)

Analysis last updated: Thursday, November 18, 2021 at 04:39 AM UTC

Date Range:

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to

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graph of Barclays US Agg. Credit AA GAS-GARCH-T
paramt-stat
ω0.07557.13
α0.045553.24
β0.99803780.13
ν712.43
Estimation Period:
Apr 23, 1996 to Nov 12, 2021