V-Lab
ICE BofA CCC & Lower US High Yield Index GARCH Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:6.23% (-0.61%)
Analysis last updated: Monday, January 8, 2024 at 05:52 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0025 | 23.22 | |
| 0.1836 | 43.73 | |
| 0.8164 | 262.17 |
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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