V-Lab: Bloomberg US Aggregate Bond Index Total Return Value Unhedged USD EGARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg US Aggregate Bond Index Total Return Value Unhedged USD EGARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.57% (+0.07%)

Analysis last updated: Saturday, April 27, 2024 at 05:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0272	-14.72
$α$	0.1008	28.18
$β$	0.9890	1478.26
$γ$	-0.0148	-5.40

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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