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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:4.47% (+0.08%)

Analysis last updated: Monday, January 8, 2024 at 05:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4482	8.08
$α$	0.0667	6.41
$β$	0.9093	82.33
$γ_{1}$	0.0059	1.00
$γ_{2}$	-0.0150	-1.61
$γ_{3}$	0.0511	5.03

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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