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

V-Lab

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V-Lab

Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:5.30% (-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
$ω$	1.1781	8.88
$α$	0.0548	6.89
$β$	0.9335	115.46
$γ_{1}$	0.0009	2.08

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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