Bloomberg Euro Aggregate Corporate 500MM Bond Index Total Return Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
2.94%
1 Week
2.94%
1 Month
2.95%
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
Jul 31, 1998 to Oct 8, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 109 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.89 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.0396 | 1.82* |
| αscore | 0.0536 | 10.83*** |
| βpersistence | 0.9937 | 264.91*** |
| νDF | 7.8894 | 1.56 |
0.994
Persistence109d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.0396 | 1.82* |
α score Weight on the scaled score | 0.0536 | 10.83*** |
β persistence Volatility persistence | 0.9937 | 264.91*** |
ν DF Student-t tail thickness | 7.8894 | 1.56 |
Persistence:
0.994
Half-life:
109 days
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