V-Lab
ICE BofA AAA US Corporate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:9.52% (-0.12%)
Analysis last updated: Monday, January 8, 2024 at 05:30 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0006 | 17.00 | |
| 0.0385 | 14.38 | |
| 0.9545 | 720.41 | |
| 0.0068 | 1.57 |
Estimation Period:
Jan 1, 1990 to Jan 5, 2024
Jan 1, 1990 to Jan 5, 2024
News Impact Curve
Volatility Forecasts
Other ICE BofA AAA US Corporate Index Analyses