ICE BofA AAA-A Emerging Markets Corporate Plus Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
2.32%
increased by 0.02%
1 Week
2.33%
increased by 0.03%
1 Month
2.39%
increased by 0.09%
Analysis last updated: Thursday, July 23, 2026 at 02:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1999 to Jul 17, 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 = 7.36 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 | 0.1679 | 4.80*** |
α ARCH Response to squared shocks | 0.0561 | 60.56*** |
β GARCH Volatility persistence | 0.9990 | 4,625.00*** |
ν DF Student-t tail thickness | 7.3629 | 12.02*** |
Persistence:
0.999
Half-life:
693 days
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