Bloomberg Euro Aggregate Treasury Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, May 22nd, 2026
1 Day
4.54%
decreased by 6.32%
1 Week
516,559,608,177.02%
increased by 516,559,608,166.16%
1 Month
1,055,037,572,790,657,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%
increased by 1,055,037,572,790,657,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%
Analysis last updated: Saturday, May 23, 2026 at 01:57 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 26 | ||
| 1.0000 | 9,999,900.00 | |
| 0.0000 | 100.00 | |
| 0.0000 | 0.00 | |
| 0.0054 | 0.85 | |
| 1.0000 | 18.15 | |
| 0.0000 | 0.00 |
Estimation Period:
Jul 31, 1998 to Apr 4, 2025
Jul 31, 1998 to Apr 4, 2025
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