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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:4.35% (+0.25%)

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
$ω$	5.0701	1.89
$α$	0.2829	10.67
$β$	0.6860	28.82
$γ_{1}$	0.9748	3.39
$γ_{2}$	-1.5413	-3.79
$γ_{3}$	0.8465	3.10
$γ_{4}$	-0.2041	-1.05
$γ_{5}$	-0.2694	-1.72
$γ_{6}$	0.2942	1.58
$γ_{7}$	-0.1249	-0.76
$γ_{8}$	0.0576	0.41
$γ_{9}$	0.0235	0.13
$γ_{10}$	-0.1296	-0.87

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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