ICE BofA AAA-A Emerging Markets Corporate Plus Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
2.27%
increased by 0.01%
1 Week
2.31%
increased by 0.05%
1 Month
2.43%
increased by 0.17%
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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 17 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.3937 | 5.57*** |
α ARCH Response to squared shocks | 0.0665 | 6.23*** |
β GARCH Volatility persistence | 0.8945 | 68.85*** |
Spline Coefficients
K=9
| γ1 | 0.0288 | 0.47 |
| γ2 | -0.0869 | -0.99 |
| γ3 | 0.1880 | 3.50*** |
| γ4 | -0.3089 | -5.87*** |
| γ5 | 0.3033 | 5.03*** |
| γ6 | -0.1978 | -3.21*** |
| γ7 | 0.2179 | 3.51*** |
| γ8 | -0.2712 | -4.74*** |
| γ9 | 0.1594 | 4.18*** |
Persistence:
0.961
Half-life:
17 days
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