V-Lab
Bloomberg US MBS Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility Prediction for Friday, May 3rd, 2024:3.42% (-6.66%)
Analysis last updated: Friday, May 3, 2024 at 06:16 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 26 | ||
| 1.0000 | 9999900.00 | |
| 0.0071 | 70720.00 | |
| -0.0141 | -141240.00 | |
| 0.0051 | 12.64 | |
| 0.9717 | 36.64 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 1, 1990 to Sep 29, 2023
Jan 1, 1990 to Sep 29, 2023
News Impact Curve
Volatility Forecasts
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