Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR EGARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
0.23%
increased by 0.01%
1 Week
0.29%
increased by 0.07%
1 Month
0.50%
increased by 0.28%
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
Nov 28, 2003 to Apr 4, 2025Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 82% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.5401 | -18.32*** |
α ARCH Response to squared shocks | 0.7938 | 17.20*** |
β GARCH Volatility persistence | 0.9092 | 149.15*** |
γ leverage Additional response to negative shocks | -0.2302 | -13.65*** |
Persistence:
0.909
Half-life:
7 days
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