V-Lab
Bloomberg Euro Aggregate Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
3.20%
decreased by 0.07%
1 Week
3.20%
decreased by 0.07%
1 Month
3.22%
decreased by 0.05%
Analysis last updated: Friday, August 21, 2026 at 08:20 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 31, 1998 to Apr 4, 2025Model Insight
With persistence 0.993, volatility shocks have a half-life of 101 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.67 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 | 0.0485 | 6.59*** |
α ARCH Response to squared shocks | 0.0426 | 33.98*** |
β GARCH Volatility persistence | 0.9932 | 820.80*** |
ν DF Student-t tail thickness | 7.6668 | 4.88*** |
Persistence:
0.993
Half-life:
101 days
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