ICE BofA Single-B US High Yield Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
2.03%
increased by 0.07%
1 Week
2.18%
increased by 0.22%
1 Month
2.65%
increased by 0.69%
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, 1997 to Jul 17, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.20 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 | 0.1417 | 6.61*** |
α ARCH Response to squared shocks | 0.1910 | 76.77*** |
β GARCH Volatility persistence | 0.9903 | 711.42*** |
ν DF Student-t tail thickness | 5.1972 | 26.90*** |
Persistence:
0.990
Half-life:
71 days
Other ICE BofA Single-B US High Yield Index Analyses
Other GAS-GARCH Student T Analyses on Bond Indices