Bloomberg US Universal Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
3.59%
decreased by 0.10%
1 Week
3.59%
decreased by 0.10%
1 Month
3.60%
decreased by 0.09%
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
Jan 1, 1999 to Apr 4, 2025Model Insight
With persistence 0.995, volatility shocks have a half-life of 128 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.89 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 | 0.0566 | 6.97*** |
α ARCH Response to squared shocks | 0.0409 | 32.32*** |
β GARCH Volatility persistence | 0.9946 | 1,214.41*** |
ν DF Student-t tail thickness | 8.8946 | 4.19*** |
Persistence:
0.995
Half-life:
128 days
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