V-Lab: Bloomberg US Credit Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis

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V-Lab

Bloomberg US Credit Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:5.47% (+0.01%)

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
$ω$	0.1046	10.51
$α$	0.0403	34.97
$β$	0.9919	1193.58
$ν$	9	4.05

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

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