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

V-Lab

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V-Lab

Bloomberg Global Aggregate Corporate Bond Index Total Return Value Unhedged USD APARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:5.55% (-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
$ω$	0.0018	12.89
$α$	0.0592	27.12
$β$	0.9408	375.71
$γ$	0.0689	4.72
$δ$	1.5143	23.02

Estimation Period:
Sep 28, 2000 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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