Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
0.21%
decreased by 0.02%
1 Week
1.38%
increased by 1.15%
1 Month
11,249.74%
increased by 11,249.51%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 28, 2003 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 214% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 214% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.2338 | 2.91*** |
| βGARCH | 0.4355 | 9.68*** |
| γleverage | 0.5000 | 4.23*** |
| λ₁tau intercept | 0.0003 | 0.55 |
| λ₂forecast adj. | 0.9473 | 6.94*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.919
Persistence8d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2338 | 2.91*** |
β GARCH Volatility persistence | 0.4355 | 9.68*** |
γ leverage Additional response to negative shocks | 0.5000 | 4.23*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0003 | 0.55 |
λ₂ forecast adj. Forecast performance sensitivity | 0.9473 | 6.94*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.919
Half-life:
8 days
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