Bloomberg Sterling Aggregate Bond Index Total Return Value Unhedged GBP MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
6.05%
1 Week
6.05%
1 Month
6.15%
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 0.996, volatility shocks have a half-life of 179 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 21% more than positive returns
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0263 | 7.71*** |
β GARCH Volatility persistence | 0.9670 | 319.56*** |
γ leverage Additional response to negative shocks | 0.0056 | 3.39*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1295 | 0.31 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2215 | 0.32 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.996
Half-life:
179 days
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