V-Lab
ICE BofA CCC & Lower US High Yield Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 25th, 2026
1 Day
3.55%
decreased by 0.23%
1 Week
3.73%
decreased by 0.05%
1 Month
4.34%
increased by 0.56%
Analysis last updated: Tuesday, August 25, 2026 at 02:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1997 to Aug 21, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 75 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 = 4.91 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 | 0.3379 | 4.68*** |
α ARCH Response to squared shocks | 0.1660 | 62.33*** |
β GARCH Volatility persistence | 0.9908 | 531.28*** |
ν DF Student-t tail thickness | 4.9076 | 23.52*** |
Persistence:
0.991
Half-life:
75 days
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