V-Lab: Bloomberg US Aggregate Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg US Aggregate Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:5.32% (-0.09%)

Analysis last updated: Friday, May 10, 2024 at 08:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0006	17.77
$α$	0.0354	16.79
$β$	0.9487	579.18
$γ$	0.0143	3.86

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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