V-Lab: Bloomberg Global Aggregate Corporate Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis

V-Lab

| |

V-Lab

Bloomberg Global Aggregate Corporate Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:5.63% (-0.11%)

Analysis last updated: Friday, May 10, 2024 at 08:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1674	6.45
$α$	0.0422	40.71
$β$	0.9971	2426.04
$ν$	8	6.95

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

Other Bloomberg Global Aggregate Corporate Bond Index Total Return Value Unhedged USD Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MF2-GARCH