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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:3.53% (+0.08%)

Analysis last updated: Monday, January 8, 2024 at 05:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4194	4.12
$α$	0.1531	8.75
$β$	0.8141	49.42
$γ_{1}$	0.0094	1.12
$γ_{2}$	-0.0205	-1.67
$γ_{3}$	0.0475	4.24

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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