V-Lab: Bloomberg US Municipal Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Bloomberg US Municipal Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:2.89% (+0.54%)

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
$ω$	6.0899	6.43
$α$	0.2816	9.55
$β$	0.5799	16.75
$γ_{1}$	1.0754	9.30
$γ_{2}$	-1.4684	-8.64
$γ_{3}$	0.6266	5.43
$γ_{4}$	-0.3830	-3.01
$γ_{5}$	0.2385	2.00
$γ_{6}$	-0.1453	-1.44
$γ_{7}$	0.1402	1.42
$γ_{8}$	-0.2387	-2.26
$γ_{9}$	0.4333	3.03
$γ_{10}$	-0.4471	-3.76

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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