V-Lab: Bloomberg Global Treasury Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

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V-Lab

Bloomberg Global Treasury Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:0.00% (-7.44%)

Analysis last updated: Friday, May 10, 2024 at 08:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	1.0000	9999900.00
$β$	0.0000	100.00
$γ$	0.0000	0.00
$λ_{1}$	10.0000	27.04
$λ_{2}$	0.3882	23.89
$λ_{3}$	0.6118	29.50

Estimation Period:
Jan 30, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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