Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
5.25%
decreased by 0.06%
1 Week
5.47%
increased by 0.16%
1 Month
5.88%
increased by 0.57%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 14, 2011 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 263% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 263% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 46 | |
| αARCH | 0.0332 | 2.24** |
| βGARCH | 0.7789 | 19.57*** |
| γleverage | 0.0874 | 3.27*** |
| λ₁tau intercept | 0.0443 | 1.76* |
| λ₂forecast adj. | 0.6624 | 2.38** |
| λ₃tau persistence | 0.1240 | 0.32 |
0.856
Persistence4d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.0332 | 2.24** |
β GARCH Volatility persistence | 0.7789 | 19.57*** |
γ leverage Additional response to negative shocks | 0.0874 | 3.27*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0443 | 1.76* |
λ₂ forecast adj. Forecast performance sensitivity | 0.6624 | 2.38** |
λ₃ tau persistence Long-term factor persistence | 0.1240 | 0.32 |
Persistence:
0.856
Half-life:
4 days
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