V-Lab: Bloomberg US Municipal Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg US Municipal Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:2.54% (-0.20%)

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
$ω$	0.0008	26.23
$α$	0.1229	27.90
$β$	0.8301	259.96
$γ$	0.0703	8.40

Estimation Period:
Jan 30, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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