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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:11.37% (+0.10%)

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
$ω$	5.2645	1.95
$α$	0.2821	10.73
$β$	0.6865	28.97
$γ_{1}$	1.0008	3.56
$γ_{2}$	-1.5790	-3.95
$γ_{3}$	0.8660	3.20
$γ_{4}$	-0.2130	-1.10
$γ_{5}$	-0.2750	-1.76
$γ_{6}$	0.3130	1.68
$γ_{7}$	-0.1554	-0.94
$γ_{8}$	0.1150	0.77
$γ_{9}$	-0.0927	-0.45
$γ_{10}$	0.1192	0.48

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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