V-Lab
ICE BofA CCC & Lower US High Yield Index GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Monday, January 8th, 2024:5.72% (-0.92%)
Analysis last updated: Monday, January 8, 2024 at 05:54 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.4273 | 4.91 | |
| 0.1681 | 72.19 | |
| 0.9931 | 754.67 | |
| 5 | 24.86 |
Estimation Period:
Jan 1, 1997 to Jan 5, 2024
Jan 1, 1997 to Jan 5, 2024
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