Bloomberg Euro Floating-Rate Note Bond Index Total Return Value Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
0.19%
decreased by 0.02%
1 Week
0.20%
decreased by 0.01%
1 Month
0.24%
increased by 0.03%
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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 33 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5156 | 2.45** |
| αARCH | 0.2353 | 6.83*** |
| βGARCH | 0.7440 | 25.32*** |
Spline Coefficients
K=8
| γ1 | -0.0126 | -0.12 |
| γ2 | -0.0636 | -0.36 |
| γ3 | -0.1071 | -0.82 |
| γ4 | 0.3946 | 2.79*** |
| γ5 | -0.3489 | -1.39 |
| γ6 | 0.5058 | 1.75* |
| γ7 | -0.7781 | -3.61*** |
| γ8 | 0.5502 | 3.29*** |
0.979
Persistence33d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5156 | 2.45** |
α ARCH Response to squared shocks | 0.2353 | 6.83*** |
β GARCH Volatility persistence | 0.7440 | 25.32*** |
Spline Coefficients
K=8
| γ1 | -0.0126 | -0.12 |
| γ2 | -0.0636 | -0.36 |
| γ3 | -0.1071 | -0.82 |
| γ4 | 0.3946 | 2.79*** |
| γ5 | -0.3489 | -1.39 |
| γ6 | 0.5058 | 1.75* |
| γ7 | -0.7781 | -3.61*** |
| γ8 | 0.5502 | 3.29*** |
Persistence:
0.979
Half-life:
33 days
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