V-Lab
ICE BofA Single-A US Corporate Index GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:6.99% (-0.10%)
Analysis last updated: Monday, January 8, 2024 at 05:47 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0953 | 9.61 | |
| 0.0388 | 34.91 | |
| 0.9924 | 1140.71 | |
| 9 | 4.12 |
Estimation Period:
Jan 1, 1990 to Jan 5, 2024
Jan 1, 1990 to Jan 5, 2024
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