V-Lab
V-Lab
ICE BofA US Corporate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:6.64% (-0.09%)

Analysis last updated: Monday, January 8, 2024 at 05:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE BofA US Corporate Index GJR-GARCH
paramt-stat
ω0.000920.04
α0.032717.03
β0.9501653.91
γ0.01614.27
Estimation Period:
Jan 1, 1990 to Jan 5, 2024
Impact of return on volatility tomorrow
Volatility Forecasts