ICE BofA AA US Corporate Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
4.27%
decreased by 0.04%
1 Week
4.27%
decreased by 0.04%
1 Month
4.29%
decreased by 0.02%
Analysis last updated: Thursday, July 23, 2026 at 02:31 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 17, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 123 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.64 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 | 0.0891 | 8.12*** |
α ARCH Response to squared shocks | 0.0342 | 34.73*** |
β GARCH Volatility persistence | 0.9944 | 1,424.62*** |
ν DF Student-t tail thickness | 8.6422 | 4.10*** |
Persistence:
0.994
Half-life:
123 days
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