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

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V-Lab

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

Volatility Prediction for Friday, May 10th, 2024:5.55% (-0.12%)

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
$ω$	0.1646	6.81
$α$	0.0411	42.45
$β$	0.9975	2933.80
$ν$	7	8.10

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

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