Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
0.27%
unchanged at 0.00%
1 Week
0.30%
increased by 0.03%
1 Month
0.40%
increased by 0.13%
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
Nov 28, 2003 to Apr 4, 2025Model Insight
With persistence 0.990, volatility shocks have a half-life of 70 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.6139 | 1.59 |
α ARCH Response to squared shocks | 0.2579 | 7.91*** |
β GARCH Volatility persistence | 0.7322 | 29.03*** |
Spline Coefficients
K=9
| γ1 | -0.1093 | -0.59 |
| γ2 | 0.0587 | 0.20 |
| γ3 | -0.0011 | -0.01 |
| γ4 | -0.2048 | -0.94 |
| γ5 | 0.6869 | 2.88*** |
| γ6 | -0.9310 | -2.09** |
| γ7 | 1.3484 | 1.96* |
| γ8 | -1.4688 | -2.16** |
| γ9 | 0.7345 | 1.68* |
Persistence:
0.990
Half-life:
70 days
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