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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:4.62% (-0.11%)

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
$ω$	0.5498	3.59
$α$	0.1771	10.10
$β$	0.7944	48.53
$γ_{1}$	-0.0992	-3.04
$γ_{2}$	0.1573	3.57
$γ_{3}$	-0.0976	-3.69
$γ_{4}$	0.0630	2.16
$γ_{5}$	0.0004	0.01

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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