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

V-Lab

| |

V-Lab

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

Volatility Prediction for Friday, May 10th, 2024:3.74% (-0.33%)

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
$m$	21
$α$	0.1201	29.56
$β$	0.6679	58.70
$γ$	0.1481	22.92
$λ_{1}$	0.0007	5.31
$λ_{2}$	0.0689	7.14
$λ_{3}$	0.9239	83.08

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Bloomberg Global 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