Bloomberg Euro Aggregate Treasury Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
4.07%
decreased by 0.04%
1 Week
4.07%
decreased by 0.04%
1 Month
4.07%
decreased by 0.04%
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 0.992, volatility shocks have a half-life of 82 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.54 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 | 0.0676 | 6.99*** |
α ARCH Response to squared shocks | 0.0460 | 30.91*** |
β GARCH Volatility persistence | 0.9915 | 725.34*** |
ν DF Student-t tail thickness | 7.5383 | 4.77*** |
Persistence:
0.992
Half-life:
82 days
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