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

V-Lab

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V-Lab

Bloomberg Global Treasury Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.19% (-0.09%)

Analysis last updated: Saturday, April 27, 2024 at 05:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8421	7.32
$α$	0.0535	9.38
$β$	0.9335	155.24
$γ_{1}$	-0.0071	-3.02
$γ_{2}$	0.0099	3.35

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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