V-Lab
ICE BofA Single-A US Corporate Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:6.73% (-0.09%)
Analysis last updated: Monday, January 8, 2024 at 05:45 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0009 | 20.04 | |
| 0.0351 | 15.76 | |
| 0.9494 | 622.12 | |
| 0.0129 | 3.18 |
Estimation Period:
Jan 1, 1990 to Jan 5, 2024
Jan 1, 1990 to Jan 5, 2024
News Impact Curve
Volatility Forecasts
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