Bloomberg Euro Contingent Capital Bond TR Index Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.13%
decreased by 0.50%
1 Week
3.26%
decreased by 0.37%
1 Month
3.66%
increased by 0.03%
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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 18 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1897 | 3.17*** |
| αARCH | 0.2827 | 7.94*** |
| βGARCH | 0.6799 | 18.34*** |
Spline Coefficients
K=8
| γ1 | 0.0389 | 0.08 |
| γ2 | -0.2911 | -0.41 |
| γ3 | 0.8729 | 1.75* |
| γ4 | -1.3898 | -3.30*** |
| γ5 | 1.7350 | 5.57*** |
| γ6 | -2.1238 | -6.57*** |
| γ7 | 1.7727 | 4.83*** |
| γ8 | -0.6451 | -2.25** |
0.963
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1897 | 3.17*** |
α ARCH Response to squared shocks | 0.2827 | 7.94*** |
β GARCH Volatility persistence | 0.6799 | 18.34*** |
Spline Coefficients
K=8
| γ1 | 0.0389 | 0.08 |
| γ2 | -0.2911 | -0.41 |
| γ3 | 0.8729 | 1.75* |
| γ4 | -1.3898 | -3.30*** |
| γ5 | 1.7350 | 5.57*** |
| γ6 | -2.1238 | -6.57*** |
| γ7 | 1.7727 | 4.83*** |
| γ8 | -0.6451 | -2.25** |
Persistence:
0.963
Half-life:
18 days
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