V-Lab
Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
0.23%
decreased by 0.02%
1 Week
1.67%
increased by 1.42%
1 Month
20,261.98%
increased by 20,261.73%
Analysis last updated: Monday, August 24, 2026 at 08:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2003 to Aug 20, 2026Stationarity Enforced
Boundary Parameters
Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 199% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2516 | 10.30*** |
β GARCH Volatility persistence | 0.4299 | 23.18*** |
γ leverage Additional response to negative shocks | 0.5000 | 9.51*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0003 | 0.77 |
λ₂ forecast adj. Forecast performance sensitivity | 0.9555 | 0.83 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.931
Half-life:
10 days
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