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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, May 10th, 2024:5.35% (-0.13%)

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
$ω$	0.0009	18.27
$α$	0.0460	21.09
$β$	0.9447	718.91
$γ$	0.0039	1.09

Estimation Period:
Dec 29, 1989 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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