V-Lab
Barclays US Agg. Credit AA Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:2.71% (-0.05%)
Analysis last updated: Thursday, November 18, 2021 at 04:39 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.1517 | 6.21 | |
| 0.0500 | 7.67 | |
| 0.9357 | 106.21 | |
| -0.0045 | -1.48 | |
| 0.0076 | 2.01 |
Estimation Period:
Apr 23, 1996 to Nov 12, 2021
Apr 23, 1996 to Nov 12, 2021
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