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BARCLAYS US AGG. GOVERNMENT ZERO SLOPE SPLINE-GARCH VOLATILITY GRAPH
?
Volatility Prediction for Tuesday, June 18:
3.25% (-0.01)
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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)
:
$104.66
Return
:
-0.16%
1 Week Pred
:
3.26%
Avg Week Vol
:
3.25%
Avg Month Vol
:
3.18%
1 Month Pred
:
3.3%
Min Vol
:
2.56%
Max Vol
:
8.27%
6 Months Pred
:
3.53%
Avg Vol
:
4.42%
Vol of Vol
:
2.97%
1 Year Pred
:
3.69%
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
GJR-GARCH
- Return Series
Spline-GARCH
- Return Series
Zero Slope Spline-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
Zero Slope Spline-GARCH