V-Lab
Bloomberg Sterling Aggregate Bond Index Total Return Value Unhedged GBP GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
5.16%
decreased by 0.12%
1 Week
5.18%
decreased by 0.10%
1 Month
5.22%
decreased by 0.06%
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
Jan 1, 1999 to Apr 4, 2025Model Insight
With persistence 0.995, volatility shocks have a half-life of 138 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 = 10.31 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 | 0.1500 | 10.46*** |
α ARCH Response to squared shocks | 0.0347 | 35.49*** |
β GARCH Volatility persistence | 0.9950 | 1,891.61*** |
ν DF Student-t tail thickness | 10.3124 | 4.03*** |
Persistence:
0.995
Half-life:
138 days
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