V-Lab: iShares National AMT-Free Muni Bond ETF Spline-GARCH Volatility Analysis

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V-Lab

iShares National AMT-Free Muni Bond ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:3.37% (-0.25%)

Analysis last updated: Friday, April 19, 2024 at 10:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0156	2.57
$α$	0.1484	7.17
$β$	0.7926	33.71
$γ_{1}$	-1.1196	-2.33
$γ_{2}$	2.0228	3.21
$γ_{3}$	-1.4851	-4.17
$γ_{4}$	0.7324	1.66
$γ_{5}$	-0.1170	-0.26
$γ_{6}$	-0.0170	-0.04
$γ_{7}$	0.0166	0.03
$γ_{8}$	-0.1687	-0.38
$γ_{9}$	0.7257	2.17
$γ_{10}$	-1.7058	-3.38

Estimation Period:
Sep 10, 2007 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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