V-Lab
Bloomberg US MBS Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility Prediction for Friday, May 10th, 2024:7.17% (-0.07%)
Analysis last updated: Friday, May 10, 2024 at 08:59 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0904 | 8.76 | |
| 0.0702 | 73.65 | |
| 0.9982 | 5253.94 | |
| 7 | 20.80 |
Estimation Period:
Jan 1, 1990 to Sep 29, 2023
Jan 1, 1990 to Sep 29, 2023
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