Bloomberg Euro Aggregate Corporate Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.79%
1 Week
2.79%
1 Month
2.85%
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 117 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 115% more than positive returns
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0261 | 15.67*** |
β GARCH Volatility persistence | 0.9529 | 498.13*** |
γ leverage Additional response to negative shocks | 0.0301 | 15.49*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0327 | 0.26 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1673 | 0.28 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.994
Half-life:
117 days
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