Bloomberg US HiYld RBI(SM) Series 1 Total Return Index Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.86%
1 Week
3.94%
1 Month
4.27%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 31, 2009 to Oct 8, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 6665 trading days (~26.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 399% more than positive returns
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 81 | |
| αARCH | 0.0340 | 2.49** |
| βGARCH | 0.8982 | 69.38*** |
| γleverage | 0.1355 | 5.92*** |
| λ₁tau intercept | 0.1626 | 2.80*** |
| λ₂forecast adj. | 0.0261 | 0.73 |
| λ₃tau persistence | 0.9638 | 20.26*** |
1.000
Persistence6665d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 81 | |
α ARCH Response to squared shocks | 0.0340 | 2.49** |
β GARCH Volatility persistence | 0.8982 | 69.38*** |
γ leverage Additional response to negative shocks | 0.1355 | 5.92*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1626 | 2.80*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0261 | 0.73 |
λ₃ tau persistence Long-term factor persistence | 0.9638 | 20.26*** |
Persistence:
1.000
Half-life:
6665 days
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