Bloomberg Euro Aggregate Treasury Bond Index Total Return Value Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
4.16%
decreased by 0.07%
1 Week
4.18%
decreased by 0.05%
1 Month
4.24%
increased 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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 49 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8458 | 9.12*** |
α ARCH Response to squared shocks | 0.0639 | 6.03*** |
β GARCH Volatility persistence | 0.9221 | 76.94*** |
Spline Coefficients
K=1
| γ1 | -0.0005 | -1.63 |
Persistence:
0.986
Half-life:
49 days
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