Bloomberg Global Treasury Total Return Index Value Hedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.70%
decreased by 0.05%
1 Week
2.71%
decreased by 0.04%
1 Month
2.71%
decreased by 0.04%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 1997 to Apr 4, 2025Model Insight
With persistence 0.994, volatility shocks have a half-life of 111 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 9.88 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0321 | 8.61*** |
α ARCH Response to squared shocks | 0.0394 | 31.39*** |
β GARCH Volatility persistence | 0.9938 | 1,267.54*** |
ν DF Student-t tail thickness | 9.8796 | 3.49*** |
Persistence:
0.994
Half-life:
111 days
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