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

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:5.81% (-0.50%)

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
$ω$	1.1449	3.48
$α$	0.2543	10.98
$β$	0.7269	33.23
$γ_{1}$	0.2549	3.19
$γ_{2}$	-0.5436	-3.74
$γ_{3}$	0.5486	4.38
$γ_{4}$	-0.4293	-4.04
$γ_{5}$	0.2438	2.42
$γ_{6}$	-0.0882	-0.96
$γ_{7}$	0.0281	0.36
$γ_{8}$	0.0857	0.95

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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