V-Lab: ICE BofA BB US High Yield Index GAS-GARCH Student T Volatility Analysis

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V-Lab

ICE BofA BB US High Yield Index GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:3.60% (-0.54%)

Analysis last updated: Monday, January 8, 2024 at 05:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0794	5.91
$α$	0.1646	42.24
$β$	0.9833	359.65
$ν$	6	13.63

Estimation Period:
Jan 1, 1997 to Jan 5, 2024

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