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Bloomberg US Universal Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

Volatility prediction for Friday, October 16th, 2026

1 Day

4.53%

increased by 0.17%

1 Week

4.46%

increased by 0.10%

1 Month

4.28%

decreased by 0.08%

Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC

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Date Range:

from

10/15/2024

to

10/15/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Bloomberg US Universal Bond Index Total Return Value Unhedged USD MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1999 to Oct 8, 2026

Model Insight

With persistence 0.997, volatility shocks have a half-life of 251 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.

Leverage: Negative returns increase volatility 114% more than positive returns

σ

MF2-GARCH Model

Tap to view equation

High persistence: persistence 0.997, shock half-life ~251 daysLeverage: Negative returns increase volatility 114% more than positive returns
ParamValuet-stat
mwindow21
αARCH0.0160
2.03**
βGARCH0.9722
150.33***
γleverage0.0182
2.30**
λ₁tau intercept0.0489
1.45
λ₂forecast adj.0.2860
1.67*
λ₃tau persistence0.0000
0.00

0.997

Persistence

251d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

21
α

ARCH

Response to squared shocks

0.0160
2.03**
β

GARCH

Volatility persistence

0.9722
150.33***
γ

leverage

Additional response to negative shocks

0.0182
2.30**
λ₁

tau intercept

Baseline long-term coefficient

0.0489
1.45
λ₂

forecast adj.

Forecast performance sensitivity

0.2860
1.67*
λ₃

tau persistence

Long-term factor persistence

0.0000
0.00

Persistence:

0.997

Half-life:

251 days