Bloomberg Euro Aggregate Corporate Bond Index Total Return Value Unhedged EUR GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.75%
decreased by 0.05%
1 Week
2.76%
decreased by 0.04%
1 Month
2.79%
decreased by 0.01%
Analysis last updated: Friday, July 17, 2026 at 11:35 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 90 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 95% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 17.37*** |
α ARCH Response to squared shocks | 0.0386 | 17.53*** |
β GARCH Volatility persistence | 0.9353 | 466.48*** |
γ leverage Additional response to negative shocks | 0.0368 | 8.30*** |
Persistence:
0.992
Half-life:
90 days
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