V-Lab
V-Lab

Barclays US Agg. Credit BAA GJR-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:3.46% (-0.08%)

Analysis last updated: Thursday, November 18, 2021 at 04:38 AM UTC

Date Range:

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to

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graph of Barclays US Agg. Credit BAA GJR-GARCH
paramt-stat
ω0.000613.64
α0.053017.02
β0.9285335.69
γ0.01813.21
Estimation Period:
Feb 27, 1990 to Nov 12, 2021
Impact of return on volatility tomorrow
Volatility Forecasts