V-Lab
Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD EGARCH Volatility Analysis
Volatility Prediction for Friday, May 17th, 2024:3.03% (-0.34%)
Analysis last updated: Saturday, May 18, 2024 at 02:37 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0876 | -20.79 | |
| 0.3572 | 55.03 | |
| 0.9547 | 478.53 | |
| -0.0828 | -12.13 |
Estimation Period:
Jan 30, 1990 to Sep 29, 2023
Jan 30, 1990 to Sep 29, 2023
News Impact Curve
Volatility Forecasts
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