V-Lab
V-Lab

ICE BofA AAA-A Emerging Markets Corporate Plus Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:3.95% (+0.10%)

Analysis last updated: Monday, January 8, 2024 at 05:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of ICE BofA AAA-A Emerging Markets Corporate Plus Index GJR-GARCH
paramt-stat
ω0.000216.00
α0.059125.53
β0.9337560.08
γ0.01112.93
Estimation Period:
Jan 1, 1999 to Jan 5, 2024
Impact of return on volatility tomorrow
Volatility Forecasts