Bloomberg Euro Contingent Capital Bond TR Index Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.09%
decreased by 0.35%
1 Week
3.39%
decreased by 0.05%
1 Month
4.36%
increased by 0.92%
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
Aug 15, 2014 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 213% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 213% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 46 | |
| αARCH | 0.1142 | 4.63*** |
| βGARCH | 0.7095 | 20.00*** |
| γleverage | 0.2432 | 5.28*** |
| λ₁tau intercept | 0.0171 | 1.83* |
| λ₂forecast adj. | 0.9483 | 14.48*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.945
Persistence12d
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 | 0.1142 | 4.63*** |
β GARCH Volatility persistence | 0.7095 | 20.00*** |
γ leverage Additional response to negative shocks | 0.2432 | 5.28*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0171 | 1.83* |
λ₂ forecast adj. Forecast performance sensitivity | 0.9483 | 14.48*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.945
Half-life:
12 days
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