V-Lab
Bloomberg US MBS Bond Index Total Return Value Unhedged USD EGARCH Volatility Analysis
Volatility Prediction for Friday, May 17th, 2024:7.00% (+0.27%)
Analysis last updated: Saturday, May 18, 2024 at 02:37 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| -0.0186 | -9.28 | |
| 0.1767 | 35.32 | |
| 0.9910 | 1494.71 | |
| -0.0445 | -11.86 |
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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