Bloomberg EM USD Aggregate Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.78%
increased by 0.87%
1 Week
3.92%
increased by 1.01%
1 Month
4.34%
increased by 1.43%
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
Jan 1, 1997 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 160% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 160% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 36 | |
| αARCH | 0.1213 | 6.87*** |
| βGARCH | 0.6632 | 17.01*** |
| γleverage | 0.1937 | 5.58*** |
| λ₁tau intercept | 0.0010 | 1.70* |
| λ₂forecast adj. | 0.1211 | 2.45** |
| λ₃tau persistence | 0.8704 | 16.55*** |
0.881
Persistence5d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.1213 | 6.87*** |
β GARCH Volatility persistence | 0.6632 | 17.01*** |
γ leverage Additional response to negative shocks | 0.1937 | 5.58*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0010 | 1.70* |
λ₂ forecast adj. Forecast performance sensitivity | 0.1211 | 2.45** |
λ₃ tau persistence Long-term factor persistence | 0.8704 | 16.55*** |
Persistence:
0.881
Half-life:
5 days
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