Bloomberg Euro Aggregate Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
3.69%
1 Week
3.69%
1 Month
3.71%
Analysis last updated: Friday, July 17, 2026 at 11:36 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 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 51% more than positive returns
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0353 | 17.86*** |
β GARCH Volatility persistence | 0.9469 | 465.29*** |
γ leverage Additional response to negative shocks | 0.0179 | 8.15*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0468 | 0.20 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0846 | 0.22 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.991
Half-life:
77 days
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