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Bloomberg US Aggregate: Government-Related Total Return Index Unhedged USD GAS-GARCH Student T Volatility Analysis

Volatility prediction for Friday, October 16th, 2026

1 Day

3.74%

increased by 0.50%

1 Week

3.76%

increased by 0.52%

1 Month

3.84%

increased by 0.60%

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 ·

All

graph of Bloomberg US Aggregate: Government-Related Total Return Index Unhedged USD GAS-GARCH-T

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Dec 30, 1993 to Oct 8, 2026

Model Insight

With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 9.22 degrees of freedom, capturing fatter tails than a normal distribution.

𝑓

GAS-GARCH-T Model

Tap to view equation

High persistence: persistence 0.999, shock half-life ~693 daysv = 9.22 · fat tails
ParamValuet-stat
ωlong-run0.3873
0.60
αscore0.0768
10.99***
βpersistence0.9990
549.20***
νDF9.2245
1.62

0.999

Persistence

693d

Half-life
𝑓

GAS-GARCH-T Model

Tap to view equation

ParameterValuet-statistic
ω

long-run

Long-run variance given a price move

0.3873
0.60
α

score

Weight on the scaled score

0.0768
10.99***
β

persistence

Volatility persistence

0.9990
549.20***
ν

DF

Student-t tail thickness

9.2245
1.62

Persistence:

0.999

Half-life:

693 days