Bloomberg US Credit Baa Total Return Index Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.58%
increased by 0.19%
1 Week
4.64%
increased by 0.25%
1 Month
4.69%
increased by 0.30%
Analysis last updated: Friday, October 16, 2026 at 11:51 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 30, 1990 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 167% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 167% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0269 | 2.67*** |
| βGARCH | 0.8451 | 28.56*** |
| γleverage | 0.0450 | 3.01*** |
| λ₁tau intercept | 0.0007 | 3.02*** |
| λ₂forecast adj. | 0.0298 | 3.63*** |
| λ₃tau persistence | 0.9641 | 104.78*** |
0.895
Persistence6d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0269 | 2.67*** |
β GARCH Volatility persistence | 0.8451 | 28.56*** |
γ leverage Additional response to negative shocks | 0.0450 | 3.01*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0007 | 3.02*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0298 | 3.63*** |
λ₃ tau persistence Long-term factor persistence | 0.9641 | 104.78*** |
Persistence:
0.895
Half-life:
6 days
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