V-Lab: Ares Dynamic Credit Allocation Fund Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Ares Dynamic Credit Allocation Fund Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:8.55% (0.00%)

Analysis last updated: Monday, April 29, 2024 at 09:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5587	3.93
$α$	0.1647	7.95
$β$	0.7268	20.55
$γ_{1}$	-1.5630	-1.90
$γ_{2}$	2.9454	2.32
$γ_{3}$	-2.7455	-2.96
$γ_{4}$	2.3882	2.88
$γ_{5}$	-1.8270	-2.58
$γ_{6}$	1.8229	2.30
$γ_{7}$	-2.1136	-2.22
$γ_{8}$	2.3443	2.69
$γ_{9}$	-2.5625	-3.81
$γ_{10}$	1.8528	3.76

Estimation Period:
Nov 28, 2012 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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