V-Lab
Barclays US Agg. Credit BAA EGARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:3.65% (-0.07%)
Analysis last updated: Thursday, November 18, 2021 at 04:38 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0263 | -12.78 | |
| 0.1413 | 22.29 | |
| 0.9887 | 1208.62 | |
| -0.0166 | -3.94 |
Estimation Period:
Feb 27, 1990 to Nov 12, 2021
Feb 27, 1990 to Nov 12, 2021
News Impact Curve
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