Bloomberg Euro Aggregate Corporate 500MM Bond Index Total Return Unhedged EUR GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
2.89%
increased by 0.02%
1 Week
2.90%
increased by 0.03%
1 Month
2.93%
increased by 0.06%
Analysis last updated: Friday, October 16, 2026 at 11:49 PM UTC
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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 0.993, volatility shocks have a half-life of 96 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 99% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.993, shock half-life ~96 daysLeverage: Negative returns increase volatility 99% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0003 | 4.35*** |
| αARCH | 0.0392 | 4.22*** |
| βGARCH | 0.9341 | 119.73*** |
| γleverage | 0.0390 | 2.24** |
0.993
Persistence96d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 4.35*** |
α ARCH Response to squared shocks | 0.0392 | 4.22*** |
β GARCH Volatility persistence | 0.9341 | 119.73*** |
γ leverage Additional response to negative shocks | 0.0390 | 2.24** |
Persistence:
0.993
Half-life:
96 days
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