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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:5.72% (-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
$ω$	0.9381	6.00
$α$	0.0537	6.28
$β$	0.9307	101.03
$γ_{1}$	-0.0116	-2.59
$γ_{2}$	0.0279	3.30

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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