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

V-Lab

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V-Lab

ICE BofA AAA-A Emerging Markets Corporate Plus Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:3.97% (+0.10%)

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
$ω$	1.3777	5.61
$α$	0.0665	5.73
$β$	0.8948	65.22
$γ_{1}$	0.0247	0.42
$γ_{2}$	-0.0713	-0.84
$γ_{3}$	0.1572	3.04
$γ_{4}$	-0.2703	-5.64
$γ_{5}$	0.2707	4.88
$γ_{6}$	-0.1659	-2.80
$γ_{7}$	0.1778	2.93
$γ_{8}$	-0.2082	-4.64

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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