V-Lab
ICE BofA BB US High Yield Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:4.63% (-0.50%)
Analysis last updated: Monday, January 8, 2024 at 05:49 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0016 | 17.58 | |
| 0.1227 | 25.41 | |
| 0.7957 | 219.68 | |
| 0.1550 | 13.06 |
Estimation Period:
Jan 1, 1997 to Jan 5, 2024
Jan 1, 1997 to Jan 5, 2024
News Impact Curve
Volatility Forecasts
Other ICE BofA BB US High Yield Index Analyses