Bloomberg EM Govt Inflation-Linked All Maturities Bond Index TR Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
11.19%
decreased by 0.58%
1 Week
11.36%
decreased by 0.41%
1 Month
12.02%
increased by 0.25%
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
Feb 3, 2006 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
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Leverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| mwindow | 51 | |
| αARCH | 0.0255 | 1.28 |
| βGARCH | 0.8013 | 34.36*** |
| γleverage | 0.1219 | 3.84*** |
| λ₁tau intercept | 0.1137 | 1.94* |
| λ₂forecast adj. | 0.4671 | 2.18** |
| λ₃tau persistence | 0.3599 | 1.25 |
0.888
Persistence6d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 51 | |
α ARCH Response to squared shocks | 0.0255 | 1.28 |
β GARCH Volatility persistence | 0.8013 | 34.36*** |
γ leverage Additional response to negative shocks | 0.1219 | 3.84*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1137 | 1.94* |
λ₂ forecast adj. Forecast performance sensitivity | 0.4671 | 2.18** |
λ₃ tau persistence Long-term factor persistence | 0.3599 | 1.25 |
Persistence:
0.888
Half-life:
6 days
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