Bloomberg US Credit Aa Total Return Index Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
5.21%
1 Week
5.14%
1 Month
5.00%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 30, 1990 to Oct 8, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 249 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0203 | 4.33*** |
| βGARCH | 0.9745 | 312.95*** |
| γleverage | 0.0047 | 0.69 |
| λ₁tau intercept | 0.0763 | 1.67* |
| λ₂forecast adj. | 0.2809 | 1.83* |
| λ₃tau persistence | 0.0000 | 0.00 |
0.997
Persistence249d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0203 | 4.33*** |
β GARCH Volatility persistence | 0.9745 | 312.95*** |
γ leverage Additional response to negative shocks | 0.0047 | 0.69 |
λ₁ tau intercept Baseline long-term coefficient | 0.0763 | 1.67* |
λ₂ forecast adj. Forecast performance sensitivity | 0.2809 | 1.83* |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.997
Half-life:
249 days
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