V-Lab: Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD APARCH Volatility Analysis

V-Lab

| |

V-Lab

Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD APARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:4.22% (+0.44%)

Analysis last updated: Saturday, April 27, 2024 at 05:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0022	6.33
$α$	0.1957	30.22
$β$	0.8043	131.31
$γ$	0.1878	17.03
$δ$	1.9143	16.03

Estimation Period:
Jan 30, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD Analyses
GARCH
GJR-GARCH
EGARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH