Bloomberg Euro Aggregate Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.50%
increased by 0.17%
1 Week
3.49%
increased by 0.16%
1 Month
3.50%
increased by 0.17%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 31, 1998 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 172% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 172% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 101 | |
| αARCH | 0.0275 | 3.34*** |
| βGARCH | 0.8912 | 47.50*** |
| γleverage | 0.0472 | 3.51*** |
| λ₁tau intercept | 0.0077 | 3.12*** |
| λ₂forecast adj. | 0.8259 | 9.63*** |
| λ₃tau persistence | 0.0114 | 0.11 |
0.942
Persistence12d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 101 | |
α ARCH Response to squared shocks | 0.0275 | 3.34*** |
β GARCH Volatility persistence | 0.8912 | 47.50*** |
γ leverage Additional response to negative shocks | 0.0472 | 3.51*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0077 | 3.12*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.8259 | 9.63*** |
λ₃ tau persistence Long-term factor persistence | 0.0114 | 0.11 |
Persistence:
0.942
Half-life:
12 days
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