ICE BofA EMEA Emerging Markets Corporate Plus Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
1.75%
increased by 0.17%
1 Week
1.84%
increased by 0.26%
1 Month
2.14%
increased by 0.56%
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 0.998, volatility shocks have a half-life of 432 trading days (~1.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.85 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 | 0.3950 | 6.33*** |
α ARCH Response to squared shocks | 0.1416 | 102.11*** |
β GARCH Volatility persistence | 0.9984 | 4,417.69*** |
ν DF Student-t tail thickness | 4.8529 | 31.26*** |
Persistence:
0.998
Half-life:
432 days
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