V-Lab
ICE BofA BB US High Yield Index EGARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:4.48% (-0.52%)
Analysis last updated: Monday, January 8, 2024 at 05:49 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.1020 | -18.00 | |
| 0.3219 | 59.18 | |
| 0.9591 | 483.17 | |
| -0.0910 | -24.33 |
Estimation Period:
Jan 1, 1997 to Jan 5, 2024
Jan 1, 1997 to Jan 5, 2024
News Impact Curve
Volatility Forecasts
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