V-Lab
Barclays US Agg. Credit BAA Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:3.20% (-0.08%)
Analysis last updated: Thursday, November 18, 2021 at 04:39 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.0958 | 6.25 | |
| 0.0627 | 6.23 | |
| 0.9141 | 73.40 | |
| -0.0039 | -1.46 | |
| 0.0068 | 2.07 |
Estimation Period:
Feb 27, 1990 to Nov 12, 2021
Feb 27, 1990 to Nov 12, 2021
News Impact Curve
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