V-Lab: BlackRock Limited Duration Income Trust Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

BlackRock Limited Duration Income Trust Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:8.18% (-0.30%)

Analysis last updated: Monday, May 20, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1300	4.39
$α$	0.2439	7.87
$β$	0.6920	23.13
$γ_{1}$	-1.3843	-8.51
$γ_{2}$	1.9827	7.39
$γ_{3}$	-1.0367	-4.03
$γ_{4}$	0.6399	2.54
$γ_{5}$	-0.4114	-2.01
$γ_{6}$	0.4031	2.33
$γ_{7}$	-0.2986	-1.90
$γ_{8}$	0.3701	2.30
$γ_{9}$	-0.5185	-3.82
$γ_{10}$	0.3098	3.31

Estimation Period:
Jul 29, 2003 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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