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BARCLAYS US AGG. GOVERNMENT GJR-GARCH VOLATILITY GRAPH
?
Volatility Prediction for Monday, May 27:
2.90% (-0.03)
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VIX
Barclays US Agg. Government
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Date Range:
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Window:
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6m
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1y
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2y
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5y
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all
Volatility Summary Table
Closing Price (USD)
:
$105.47
Return
:
-0.05%
1 Week Pred
:
2.92%
Avg Week Vol
:
2.93%
Avg Month Vol
:
2.87%
1 Month Pred
:
2.98%
Min Vol
:
2.55%
Max Vol
:
8.37%
6 Months Pred
:
3.34%
Avg Vol
:
4.43%
Vol of Vol
:
3.01%
1 Year Pred
:
3.64%
Models
Assets
Analysis on Barclays US Agg. Government
AGARCH
- Return Series
APARCH
- Return Series
EGARCH
- Return Series
GARCH
- Return Series
GAS-GARCH Student T
- Return Series
Spline-GARCH
- Return Series
Zero Slope Spline-GARCH
- Return Series
GJR-GARCH analysis on Treasuries
10Y Interest Rate Swap
2Y Interest Rate Swap
5Y Interest Rate Swap
iShares Barclays 1-3 Year
iShares Barclays 10-20 Year
iShares Barclays Short
iShares S&P New York AMT-Free Municipal
Documentation
Volatility Analysis
GJR-GARCH