V-Lab
V-Lab

ICE BofA US Corporate Index Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:6.94% (-0.11%)

Analysis last updated: Monday, January 8, 2024 at 05:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE BofA US Corporate Index S0GARCH
paramt-stat
ω1.03329.91
α0.04197.54
β0.9497157.32
γ10.00010.48
Estimation Period:
Jan 1, 1990 to Jan 5, 2024
Impact of return on volatility tomorrow
Volatility Forecasts