V-Lab: Bloomberg US Government/Credit Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bloomberg US Government/Credit Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:5.57% (+0.03%)

Analysis last updated: Friday, May 3, 2024 at 06:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0240	9.50
$β$	0.9720	383.89
$γ$	0.0004	0.29
$λ_{1}$	0.0646	0.19
$λ_{2}$	0.2350	0.20
$λ_{3}$	0.0000	0.00

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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