Bloomberg EM Local Currency Government Bond Index Total Return Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.11%
decreased by 0.03%
1 Week
3.22%
increased by 0.08%
1 Month
3.52%
increased by 0.38%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 16, 2008 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 146% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 146% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 31 | |
| αARCH | 0.0493 | 3.71*** |
| βGARCH | 0.8137 | 32.08*** |
| γleverage | 0.0720 | 3.45*** |
| λ₁tau intercept | 0.0011 | 1.51 |
| λ₂forecast adj. | 0.0664 | 2.72*** |
| λ₃tau persistence | 0.9271 | 33.81*** |
0.899
Persistence7d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.0493 | 3.71*** |
β GARCH Volatility persistence | 0.8137 | 32.08*** |
γ leverage Additional response to negative shocks | 0.0720 | 3.45*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0011 | 1.51 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0664 | 2.72*** |
λ₃ tau persistence Long-term factor persistence | 0.9271 | 33.81*** |
Persistence:
0.899
Half-life:
7 days
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