ICE BofA AAA-A Emerging Markets Corporate Plus Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
3.06%
1 Week
3.07%
1 Month
3.11%
Analysis last updated: Friday, October 23, 2026 at 02:32 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1999 to Oct 16, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.39 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.1683 | 1.20 |
| αscore | 0.0558 | 15.14*** |
| βpersistence | 0.9990 | 1,158.93*** |
| νDF | 7.3912 | 3.00*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.1683 | 1.20 |
α score Weight on the scaled score | 0.0558 | 15.14*** |
β persistence Volatility persistence | 0.9990 | 1,158.93*** |
ν DF Student-t tail thickness | 7.3912 | 3.00*** |
Persistence:
0.999
Half-life:
693 days
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