V-Lab: Bloomberg Multiverse Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bloomberg Multiverse Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:5.18% (-0.16%)

Analysis last updated: Saturday, May 18, 2024 at 02:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2149	10.49
$α$	0.0574	9.14
$β$	0.9271	143.55
$γ_{1}$	0.0010	2.89

Estimation Period:
Jan 28, 1999 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Bloomberg Multiverse Bond Index Total Return Value Unhedged USD Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T
MF2-GARCH