V-Lab: iShares iBoxx $ High Yield Corporate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares iBoxx $ High Yield Corporate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:6.16% (-0.04%)

Analysis last updated: Friday, April 26, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6692	2.83
$α$	0.1627	8.43
$β$	0.8189	45.49
$γ_{1}$	-0.7011	-2.46
$γ_{2}$	0.8204	2.01
$γ_{3}$	0.0292	0.13
$γ_{4}$	-0.3204	-1.56
$γ_{5}$	0.3239	1.82
$γ_{6}$	-0.1490	-0.97
$γ_{7}$	-0.0582	-0.43

Estimation Period:
Apr 11, 2007 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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