V-Lab
ICE BofA Single-B US High Yield Index MF2-GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:5.57% (+1.48%)
Analysis last updated: Monday, January 8, 2024 at 05:52 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 21 | ||
| 0.8934 | 8933740.00 | |
| 0.0000 | 100.00 | |
| 0.2132 | 2132320.00 | |
| 0.0162 | 6.17 | |
| 0.3223 | 99.96 | |
| 0.6777 | 125.46 |
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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