V-Lab: Barclays US Agg. Government MF2-GARCH Volatility Analysis

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V-Lab

Barclays US Agg. Government MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 18th, 2021:1.13% (-0.62%)

Analysis last updated: Thursday, November 18, 2021 at 04:39 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.7902	7901630.00
$β$	0.0097	96900.00
$γ$	0.4003	4002930.00
$λ_{1}$	4.9493	54.12
$λ_{2}$	0.1144	493.07
$λ_{3}$	0.6785	2725.07

Estimation Period:
Jan 2, 1990 to Nov 12, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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