V-Lab: iShares iBoxx $ High Yield Corporate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

iShares iBoxx $ High Yield Corporate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 25th, 2024:6.50% (-0.29%)

Analysis last updated: Wednesday, April 24, 2024 at 09:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6690	2.81
$α$	0.1628	8.44
$β$	0.8189	45.52
$γ_{1}$	-0.7044	-2.47
$γ_{2}$	0.8237	2.01
$γ_{3}$	0.0301	0.14
$γ_{4}$	-0.3218	-1.56
$γ_{5}$	0.3239	1.82
$γ_{6}$	-0.1474	-0.95
$γ_{7}$	-0.0597	-0.43

Estimation Period:
Apr 11, 2007 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares iBoxx $ High Yield Corporate Bond ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH