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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:3.29% (+0.11%)

Analysis last updated: Monday, January 8, 2024 at 05:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5182	2.79
$α$	0.1525	7.98
$β$	0.7914	40.17
$γ_{1}$	0.1490	1.38
$γ_{2}$	-0.2609	-1.79
$γ_{3}$	0.2448	3.53
$γ_{4}$	-0.2762	-4.89
$γ_{5}$	0.2649	4.60
$γ_{6}$	-0.2477	-4.09
$γ_{7}$	0.3013	4.76
$γ_{8}$	-0.2705	-5.74

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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