V-Lab
ICE BofA Single-B US High Yield Index GJR-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:4.93% (-0.59%)
Analysis last updated: Monday, January 8, 2024 at 05:49 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0014 | 25.31 | |
| 0.1319 | 26.38 | |
| 0.7867 | 178.52 | |
| 0.1627 | 16.34 |
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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