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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:4.82% (-0.60%)

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
$ω$	1.1604	3.43
$α$	0.2559	11.03
$β$	0.7263	33.28
$γ_{1}$	0.2491	3.09
$γ_{2}$	-0.5348	-3.65
$γ_{3}$	0.5454	4.33
$γ_{4}$	-0.4344	-4.07
$γ_{5}$	0.2641	2.61
$γ_{6}$	-0.1349	-1.47
$γ_{7}$	0.1233	1.60
$γ_{8}$	-0.1349	-2.50

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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