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

V-Lab

| |

V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:13.97% (+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
$ω$	6.4913	6.66
$α$	0.2804	9.46
$β$	0.5821	16.98
$γ_{1}$	1.1232	9.77
$γ_{2}$	-1.5404	-9.11
$γ_{3}$	0.6704	5.84
$γ_{4}$	-0.4197	-3.31
$γ_{5}$	0.2673	2.25
$γ_{6}$	-0.1615	-1.60
$γ_{7}$	0.1376	1.38
$γ_{8}$	-0.2033	-1.73
$γ_{9}$	0.3301	1.84
$γ_{10}$	-0.1815	-0.77

Estimation Period:
Jan 30, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Bloomberg US Municipal Bond Index Total Return Value Unhedged USD Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH