V-Lab: ICE BofA AAA-A Emerging Markets Corporate Plus Index MF2-GARCH Volatility Analysis

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V-Lab

ICE BofA AAA-A Emerging Markets Corporate Plus Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:4.18% (+0.02%)

Analysis last updated: Monday, January 8, 2024 at 05:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0241	19.63
$β$	0.9712	866.35
$γ$	0.0094	5.31
$λ_{1}$	0.5218	0.43
$λ_{2}$	0.4017	0.43
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 1, 1999 to Jan 5, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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