V-Lab: Blackstone Long-Short Credit Income Fund Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Blackstone Long-Short Credit Income Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:8.58% (-0.44%)

Analysis last updated: Thursday, May 16, 2024 at 10:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4264	4.04
$α$	0.1477	5.59
$β$	0.6906	14.46
$γ_{1}$	-0.1332	-0.21
$γ_{2}$	-0.3016	-0.35
$γ_{3}$	1.0266	2.01
$γ_{4}$	-0.8295	-1.59
$γ_{5}$	-0.2678	-0.50
$γ_{6}$	1.3945	2.72
$γ_{7}$	-1.8661	-4.07
$γ_{8}$	1.4623	4.51

Estimation Period:
Sep 22, 2014 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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