V-Lab
Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, April 26th, 2024:4.17% (+0.41%)
Analysis last updated: Saturday, April 27, 2024 at 05:25 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0019 | 17.63 | |
| 0.1308 | 25.84 | |
| 0.8026 | 148.69 | |
| 0.1331 | 10.06 |
Estimation Period:
Jan 30, 1990 to Sep 29, 2023
Jan 30, 1990 to Sep 29, 2023
News Impact Curve
Volatility Forecasts
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