V-Lab
Barclays US Agg. Credit BAA GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:3.55% (-0.08%)
Analysis last updated: Thursday, November 18, 2021 at 04:39 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.3380 | 5.25 | |
| 0.0611 | 62.72 | |
| 0.9990 | 5550.00 | |
| 6 | 12.62 |
Estimation Period:
Feb 27, 1990 to Nov 12, 2021
Feb 27, 1990 to Nov 12, 2021
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