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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:5.63% (-0.03%)

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
$ω$	1.2113	9.69
$α$	0.0447	6.92
$β$	0.9441	127.67
$γ_{1}$	0.0007	1.01

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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