Bloomberg Euro Aggregate Corporate 500MM Bond Index Total Return Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.56%
decreased by 0.05%
1 Week
2.57%
decreased by 0.04%
1 Month
2.60%
decreased by 0.01%
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
Jul 31, 1998 to Apr 4, 2025Model Insight
With persistence 0.995, volatility shocks have a half-life of 134 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 = 7.87 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 | 0.0411 | 7.00*** |
α ARCH Response to squared shocks | 0.0499 | 43.99*** |
β GARCH Volatility persistence | 0.9948 | 1,291.99*** |
ν DF Student-t tail thickness | 7.8732 | 6.46*** |
Persistence:
0.995
Half-life:
134 days
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