V-Lab
Barclays US Agg. Credit BAA Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, November 18th, 2021:3.15% (-0.08%)
Analysis last updated: Thursday, November 18, 2021 at 04:39 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.2028 | 7.69 | |
| 0.0631 | 6.16 | |
| 0.9140 | 73.19 | |
| -0.0006 | -0.47 |
Estimation Period:
Feb 27, 1990 to Nov 12, 2021
Feb 27, 1990 to Nov 12, 2021
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