ICE BofA CCC & Lower US High Yield Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, July 23rd, 2026
1 Day
2.85%
increased by 0.35%
1 Week
3.09%
increased by 0.59%
1 Month
3.85%
increased by 1.35%
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 0.991, volatility shocks have a half-life of 76 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 = 4.90 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 | 0.3434 | 4.67*** |
α ARCH Response to squared shocks | 0.1666 | 62.91*** |
β GARCH Volatility persistence | 0.9910 | 538.28*** |
ν DF Student-t tail thickness | 4.9039 | 23.75*** |
Persistence:
0.991
Half-life:
76 days
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