V-Lab
ICE BofA AAA US Corporate Index MF2-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:9.50% (-0.10%)
Analysis last updated: Monday, January 8, 2024 at 05:33 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 21 | ||
| 0.0197 | 6.86 | |
| 0.9767 | 348.82 | |
| 0.0046 | 5.28 | |
| 0.1132 | 0.23 | |
| 0.3255 | 0.23 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 1, 1990 to Jan 5, 2024
Jan 1, 1990 to Jan 5, 2024
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