V-Lab: iShares iBoxx $ Investment Grade Corporate Bond ETF Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares iBoxx $ Investment Grade Corporate Bond ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:8.42% (-0.40%)

Analysis last updated: Friday, April 19, 2024 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8764	5.07
$α$	0.0810	4.46
$β$	0.8406	27.80
$γ_{1}$	-0.3531	-3.15
$γ_{2}$	0.7909	4.38
$γ_{3}$	-0.8095	-4.70
$γ_{4}$	0.5034	3.16
$γ_{5}$	-0.0860	-0.76
$γ_{6}$	-0.1524	-1.66
$γ_{7}$	0.2196	2.61
$γ_{8}$	-0.0154	-0.14
$γ_{9}$	-0.4050	-2.09

Estimation Period:
Jul 26, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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