V-Lab
Bloomberg US Government/Credit Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, May 17th, 2024:4.94% (-0.09%)
Analysis last updated: Saturday, May 18, 2024 at 02:38 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.1862 | 10.16 | |
| 0.0389 | 7.35 | |
| 0.9525 | 158.17 | |
| 0.0004 | 1.99 |
Estimation Period:
Jan 1, 1990 to Sep 29, 2023
Jan 1, 1990 to Sep 29, 2023
News Impact Curve
Volatility Forecasts
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