Bloomberg Euro Aggregate Corporate Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
2.92%
1 Week
2.88%
1 Month
2.89%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 31, 1998 to Oct 8, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 103 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 126% more than positive returns
MF2-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 26 | |
| αARCH | 0.0269 | 3.42*** |
| βGARCH | 0.9494 | 100.20*** |
| γleverage | 0.0338 | 4.23*** |
| λ₁tau intercept | 0.0326 | 0.60 |
| λ₂forecast adj. | 0.1568 | 0.66 |
| λ₃tau persistence | 0.0000 | 0.00 |
0.993
Persistence103d
Half-lifeMF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0269 | 3.42*** |
β GARCH Volatility persistence | 0.9494 | 100.20*** |
γ leverage Additional response to negative shocks | 0.0338 | 4.23*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0326 | 0.60 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1568 | 0.66 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.993
Half-life:
103 days
Other Bloomberg Euro Aggregate Corporate Bond Index Total Return Value Unhedged EUR Analyses
Other MF2-GARCH Analyses on Bond Indices