V-Lab
Bloomberg US Treasury Bond Index Total Return Value Unhedged USD EGARCH Volatility Analysis
Volatility Prediction for Friday, May 17th, 2024:5.08% (-0.10%)
Analysis last updated: Saturday, May 18, 2024 at 02:37 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0202 | -18.47 | |
| 0.0959 | 32.04 | |
| 0.9915 | 2114.17 | |
| 0.0135 | 5.06 |
Estimation Period:
Jan 30, 1990 to Sep 29, 2023
Jan 30, 1990 to Sep 29, 2023
News Impact Curve
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