Bloomberg Global Treasury Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
5.17%
1 Week
5.18%
1 Month
5.20%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 111% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 71 | |
| αARCH | 0.0451 | 4.81*** |
| βGARCH | 0.9019 | 40.09*** |
| γleverage | -0.0238 | -2.26** |
| λ₁tau intercept | 0.0171 | 2.78*** |
| λ₂forecast adj. | 0.7570 | 4.56*** |
| λ₃tau persistence | 0.1444 | 0.78 |
0.935
Persistence10d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 71 | |
α ARCH Response to squared shocks | 0.0451 | 4.81*** |
β GARCH Volatility persistence | 0.9019 | 40.09*** |
γ leverage Additional response to negative shocks | -0.0238 | -2.26** |
λ₁ tau intercept Baseline long-term coefficient | 0.0171 | 2.78*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7570 | 4.56*** |
λ₃ tau persistence Long-term factor persistence | 0.1444 | 0.78 |
Persistence:
0.935
Half-life:
10 days
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