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2Y INTEREST RATE SWAP AGARCH VOLATILITY GRAPH
?
Volatility Prediction for Wednesday, June 19:
55.14% (-0.96)
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2Y Interest Rate Swap
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Volatility Summary Table
Closing Price (USD)
:
$0.42
Return
:
0.48%
1 Week Pred
:
55.16%
Avg Week Vol
:
56.07%
Avg Month Vol
:
51.83%
1 Month Pred
:
55.23%
Min Vol
:
8.11%
Max Vol
:
96.98%
6 Months Pred
:
55.75%
Avg Vol
:
35.73%
Vol of Vol
:
39.83%
1 Year Pred
:
56.37%
Models
Assets
Analysis on 2Y Interest Rate Swap
APARCH
- Return Series
EGARCH
- Return Series
GARCH
- Return Series
GAS-GARCH Student T
- Return Series
GJR-GARCH
- Return Series
Spline-GARCH
- Return Series
Zero Slope Spline-GARCH
- Return Series
AGARCH analysis on Treasuries
10Y Interest Rate Swap
5Y Interest Rate Swap
Barclays US Agg. Government
iShares Barclays 1-3 Year
iShares Barclays 10-20 Year
iShares Barclays Short
iShares S&P New York AMT-Free Municipal
Documentation
Volatility Analysis
AGARCH