ICE BofA BB US High Yield Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
2.52%
decreased by 0.14%
1 Week
2.64%
decreased by 0.02%
1 Month
3.09%
increased by 0.43%
Analysis last updated: Friday, October 23, 2026 at 02:30 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 16, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 105 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 140% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.993, shock half-life ~105 daysLeverage: Negative returns increase volatility 140% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0015 | 4.80*** |
| αARCH | 0.1091 | 6.39*** |
| βGARCH | 0.8079 | 59.59*** |
| γleverage | 0.1528 | 3.59*** |
0.993
Persistence105d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0015 | 4.80*** |
α ARCH Response to squared shocks | 0.1091 | 6.39*** |
β GARCH Volatility persistence | 0.8079 | 59.59*** |
γ leverage Additional response to negative shocks | 0.1528 | 3.59*** |
Persistence:
0.993
Half-life:
105 days
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