Bloomberg Global Treasury Total Return Index Value Hedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
2.94%
1 Week
2.91%
1 Month
2.87%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 1, 1997 to Oct 8, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 139 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0352 | 5.16*** |
| βGARCH | 0.9643 | 139.96*** |
| γleverage | -0.0089 | -1.46 |
| λ₁tau intercept | 0.0229 | 1.01 |
| λ₂forecast adj. | 0.1870 | 1.00 |
| λ₃tau persistence | 0.0000 | 0.00 |
0.995
Persistence139d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0352 | 5.16*** |
β GARCH Volatility persistence | 0.9643 | 139.96*** |
γ leverage Additional response to negative shocks | -0.0089 | -1.46 |
λ₁ tau intercept Baseline long-term coefficient | 0.0229 | 1.01 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1870 | 1.00 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.995
Half-life:
139 days
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