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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:5.23% (-0.41%)

Analysis last updated: Monday, January 8, 2024 at 05:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9539	2.76
$α$	0.2133	10.44
$β$	0.7542	38.78
$γ_{1}$	-0.0294	-0.88
$γ_{2}$	0.0395	0.84
$γ_{3}$	-0.0118	-0.57
$γ_{4}$	0.0456	2.36

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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