V-Lab: iShares MBS ETF Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares MBS ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:6.61% (-0.29%)

Analysis last updated: Monday, April 29, 2024 at 09:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2079	3.04
$α$	0.1260	3.83
$β$	0.8497	30.35
$γ_{1}$	0.4673	0.54
$γ_{2}$	-0.9773	-0.72
$γ_{3}$	1.0001	1.53
$γ_{4}$	-0.8623	-3.83
$γ_{5}$	0.7131	3.23
$γ_{6}$	-0.8206	-3.55
$γ_{7}$	1.4314	5.92
$γ_{8}$	-2.1119	-4.95

Estimation Period:
Mar 16, 2007 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts