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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, May 3rd, 2024:7.54% (-0.05%)

Analysis last updated: Friday, May 3, 2024 at 06:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0002	15.67
$α$	0.0472	15.93
$β$	0.9284	487.58
$γ$	0.0489	9.21

Estimation Period:
Jan 1, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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