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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:4.55% (-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
$ω$	0.5601	3.56
$α$	0.1763	10.20
$β$	0.7971	49.78
$γ_{1}$	-0.1002	-3.05
$γ_{2}$	0.1607	3.64
$γ_{3}$	-0.1061	-4.13
$γ_{4}$	0.0823	3.22
$γ_{5}$	-0.0521	-2.69

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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