V-Lab: Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.58% (-0.11%)

Analysis last updated: Saturday, April 27, 2024 at 05:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0008	17.02
$α$	0.0465	19.35
$β$	0.9413	579.26
$γ$	0.0113	2.52

Estimation Period:
Sep 28, 2000 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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