V-Lab
Barclays US Agg. Credit AA Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:2.67% (-0.05%)
Analysis last updated: Thursday, November 18, 2021 at 04:38 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.2572 | 7.80 | |
| 0.0505 | 7.53 | |
| 0.9350 | 105.26 | |
| -0.0008 | -0.60 |
Estimation Period:
Apr 23, 1996 to Nov 12, 2021
Apr 23, 1996 to Nov 12, 2021
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