V-Lab: ICE BofA CCC & Lower US High Yield Index MF2-GARCH Volatility Analysis

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V-Lab

ICE BofA CCC & Lower US High Yield Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:7.05% (-0.79%)

Analysis last updated: Monday, January 8, 2024 at 05:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.1450	32.76
$β$	0.7205	96.62
$γ$	0.1421	22.03
$λ_{1}$	0.0011	6.80
$λ_{2}$	0.0694	5.92
$λ_{3}$	0.9257	70.73

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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