Bloomberg Euro Aggregate Corporate Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.52%
decreased by 0.05%
1 Week
2.53%
decreased by 0.04%
1 Month
2.56%
decreased 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
With persistence 0.994, volatility shocks have a half-life of 115 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 8.23 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 | 0.0367 | 7.01*** |
α ARCH Response to squared shocks | 0.0502 | 41.68*** |
β GARCH Volatility persistence | 0.9940 | 1,040.80*** |
ν DF Student-t tail thickness | 8.2288 | 5.41*** |
Persistence:
0.994
Half-life:
115 days
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