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Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD GAS-GARCH Student T Volatility Analysis

Volatility prediction for Friday, October 16th, 2026

1 Day

6.17%

decreased by 0.01%

1 Week

6.23%

increased by 0.05%

1 Month

6.43%

increased by 0.25%

Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC

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Date Range:

from

10/15/2024

to

10/15/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 14, 2011 to Oct 8, 2026

Model Insight

Volatility shocks decay with a half-life of 37 trading days, meaning a shock loses half its impact after approximately 37 days. Returns follow a Student-t distribution with v = 6.71 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

Shock decay: Shocks decay with a 37-day half-lifev = 6.71 · fat tails
ParamValuet-stat
ωlong-run0.2280
1.83*
αscore0.0686
5.74***
βpersistence0.9813
94.49***
νDF6.7135
1.08

0.981

Persistence

37d

Half-life
𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

long-run

Long-run variance given a price move

0.2280
1.83*
α

score

Weight on the scaled score

0.0686
5.74***
β

persistence

Volatility persistence

0.9813
94.49***
ν

DF

Student-t tail thickness

6.7135
1.08

Persistence:

0.981

Half-life:

37 days