V-Lab: Bloomberg US Credit Bond Index Total Return Value Unhedged USD AGARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg US Credit Bond Index Total Return Value Unhedged USD AGARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:6.41% (+0.63%)

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
$ω$	0.0013	16.64
$α$	0.0464	27.32
$β$	0.9419	470.71
$γ$	0.0322	3.89

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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