V-Lab: iShares iBoxx $ Investment Grade Corporate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

iShares iBoxx $ Investment Grade Corporate Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:9.13% (-0.06%)

Analysis last updated: Friday, April 26, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8976	5.03
$α$	0.0794	4.54
$β$	0.8493	29.52
$γ_{1}$	-0.3336	-2.90
$γ_{2}$	0.7599	4.07
$γ_{3}$	-0.7902	-4.36
$γ_{4}$	0.4893	2.91
$γ_{5}$	-0.0713	-0.60
$γ_{6}$	-0.1773	-1.88
$γ_{7}$	0.2763	3.45
$γ_{8}$	-0.1521	-2.02
$γ_{9}$	-0.0749	-1.25

Estimation Period:
Jul 26, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares iBoxx $ Investment Grade Corporate Bond ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH