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ISHARES S&P NEW YORK AMT-FREE MUNICIPAL APARCH VOLATILITY GRAPH
?
Volatility Prediction for Friday, May 24:
3.00% (-0.09)
COMPARE
VIX
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Date Range:
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Window:
3m
·
6m
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1y
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2y
·
5y
·
all
Volatility Summary Table
Closing Price (USD)
:
$110.71
Return
:
0.1%
1 Week Pred
:
3.14%
Avg Week Vol
:
3.11%
Avg Month Vol
:
3.1%
1 Month Pred
:
3.6%
Min Vol
:
2.25%
Max Vol
:
31.61%
6 Months Pred
:
5.58%
Avg Vol
:
6.63%
Vol of Vol
:
9.28%
1 Year Pred
:
6.76%
Models
Assets
Analysis on iShares S&P New York AMT-Free Municipal
AGARCH
- 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
APARCH analysis on Treasuries
10Y Interest Rate Swap
2Y Interest Rate Swap
5Y Interest Rate Swap
Barclays US Agg. Government
iShares Barclays 1-3 Year
iShares Barclays 10-20 Year
iShares Barclays Short
Documentation
Volatility Analysis
APARCH