V-Lab
Bloomberg US MBS Bond Index Total Return Value Unhedged USD Spline-GARCH Volatility Analysis
Volatility Prediction for Friday, May 10th, 2024:6.68% (-0.10%)
Analysis last updated: Friday, May 10, 2024 at 08:59 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.7518 | 4.76 | |
| 0.0804 | 10.62 | |
| 0.9167 | 118.47 | |
| -0.0001 | -0.11 |
Estimation Period:
Jan 1, 1990 to Sep 29, 2023
Jan 1, 1990 to Sep 29, 2023
News Impact Curve
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