V-Lab: Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:0.00% (-7.25%)

Analysis last updated: Friday, May 10, 2024 at 08:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	36
$α$	0.7307	7307180.00
$β$	0.0193	192820.00
$γ$	0.5000	5000000.00
$λ_{1}$	1.9227	9.43
$λ_{2}$	0.9765	9.89
$λ_{3}$	0.0000	0.00

Estimation Period:
Dec 29, 1989 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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