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

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V-Lab

ICE BofA CCC & Lower US High Yield Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 8th, 2024:6.08% (-0.69%)

Analysis last updated: Monday, January 8, 2024 at 05:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2489	3.62
$α$	0.2064	12.23
$β$	0.7734	49.46
$γ_{1}$	0.1761	2.42
$γ_{2}$	-0.4232	-3.69
$γ_{3}$	0.4777	5.16
$γ_{4}$	-0.3730	-3.76
$γ_{5}$	0.1809	1.77
$γ_{6}$	-0.0097	-0.10
$γ_{7}$	-0.0247	-0.30
$γ_{8}$	-0.0246	-0.44

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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