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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, September 20th, 2024:3.61% (+0.32%)

Analysis last updated: Thursday, September 19, 2024 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5573	2.73
$α$	0.1605	8.42
$β$	0.8118	42.41
$γ_{1}$	-0.9811	-2.45
$γ_{2}$	1.2189	2.21
$γ_{3}$	-0.4658	-1.40
$γ_{4}$	0.7330	2.49
$γ_{5}$	-1.1040	-4.17
$γ_{6}$	1.1276	4.30
$γ_{7}$	-0.8384	-2.79
$γ_{8}$	0.6689	2.24
$γ_{9}$	-1.1749	-3.47

Estimation Period:
Apr 11, 2007 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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