V-Lab: Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:3.06% (-0.31%)

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
$m$	31
$α$	0.1268	11.53
$β$	0.6631	31.96
$γ$	0.2430	18.07
$λ_{1}$	0.0023	5.32
$λ_{2}$	0.2176	4.66
$λ_{3}$	0.7738	17.14

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
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T