V-Lab: BlackRock Limited Duration Income Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BlackRock Limited Duration Income Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:11.86% (-1.45%)

Analysis last updated: Monday, April 29, 2024 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1288	4.39
$α$	0.2437	7.83
$β$	0.6914	22.96
$γ_{1}$	-1.3942	-8.54
$γ_{2}$	1.9974	7.41
$γ_{3}$	-1.0456	-4.05
$γ_{4}$	0.6482	2.57
$γ_{5}$	-0.4216	-2.07
$γ_{6}$	0.4153	2.42
$γ_{7}$	-0.3123	-2.00
$γ_{8}$	0.3819	2.39
$γ_{9}$	-0.5155	-3.81
$γ_{10}$	0.2956	3.11

Estimation Period:
Jul 29, 2003 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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