ICE BofA Single-B US High Yield Index Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
3.32%
decreased by 0.31%
1 Week
3.45%
decreased by 0.18%
1 Month
3.90%
increased by 0.27%
Analysis last updated: Friday, October 23, 2026 at 02:31 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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 44 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2160 | 3.47*** |
| αARCH | 0.2361 | 11.49*** |
| βGARCH | 0.7482 | 38.90*** |
Spline Coefficients
K=9
| γ1 | 0.2636 | 2.85*** |
| γ2 | -0.5568 | -3.32*** |
| γ3 | 0.5424 | 3.82*** |
| γ4 | -0.3915 | -3.30*** |
| γ5 | 0.1847 | 1.79* |
| γ6 | -0.0378 | -0.45 |
| γ7 | 0.0231 | 0.34 |
| γ8 | -0.0729 | -1.24 |
| γ9 | 0.0593 | 1.46 |
0.984
Persistence44d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2160 | 3.47*** |
α ARCH Response to squared shocks | 0.2361 | 11.49*** |
β GARCH Volatility persistence | 0.7482 | 38.90*** |
Spline Coefficients
K=9
| γ1 | 0.2636 | 2.85*** |
| γ2 | -0.5568 | -3.32*** |
| γ3 | 0.5424 | 3.82*** |
| γ4 | -0.3915 | -3.30*** |
| γ5 | 0.1847 | 1.79* |
| γ6 | -0.0378 | -0.45 |
| γ7 | 0.0231 | 0.34 |
| γ8 | -0.0729 | -1.24 |
| γ9 | 0.0593 | 1.46 |
Persistence:
0.984
Half-life:
44 days
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