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

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V-Lab

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

Volatility Prediction for Monday, January 8th, 2024:7.37% (-0.59%)

Analysis last updated: Monday, January 8, 2024 at 05:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2097	3.75
$α$	0.2062	12.18
$β$	0.7707	48.20
$γ_{1}$	0.1838	2.57
$γ_{2}$	-0.4340	-3.84
$γ_{3}$	0.4813	5.31
$γ_{4}$	-0.3694	-3.81
$γ_{5}$	0.1638	1.64
$γ_{6}$	0.0316	0.33
$γ_{7}$	-0.1156	-1.40
$γ_{8}$	0.2212	2.46

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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