V-Lab: Blackstone Long-Short Credit Income Fund Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Blackstone Long-Short Credit Income Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:7.53% (-0.27%)

Analysis last updated: Monday, April 29, 2024 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4287	4.02
$α$	0.1489	5.60
$β$	0.6901	14.53
$γ_{1}$	-0.1084	-0.17
$γ_{2}$	-0.3487	-0.40
$γ_{3}$	1.0562	2.01
$γ_{4}$	-0.8135	-1.52
$γ_{5}$	-0.3381	-0.62
$γ_{6}$	1.4975	2.90
$γ_{7}$	-1.9939	-4.42
$γ_{8}$	1.5655	5.21

Estimation Period:
Sep 22, 2014 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Blackstone Long-Short Credit Income Fund Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH