V-Lab: ICE BofA BB US High Yield Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

ICE BofA BB US High Yield Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:4.58% (-0.45%)

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
$ω$	1.3988	5.53
$α$	0.2125	10.25
$β$	0.7482	35.61
$γ_{1}$	0.1607	1.74
$γ_{2}$	-0.2933	-1.66
$γ_{3}$	0.2313	1.48
$γ_{4}$	-0.1707	-1.45
$γ_{5}$	0.1360	1.58
$γ_{6}$	-0.1225	-1.65
$γ_{7}$	0.1677	2.44
$γ_{8}$	-0.1841	-3.84

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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