Bloomberg Global-Aggregate Total Return Index Value Hedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.17%
1 Week
3.14%
1 Month
3.09%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 2000 to Oct 8, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 133 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0283 | 4.57*** |
| βGARCH | 0.9617 | 183.08*** |
| γleverage | 0.0096 | 1.35 |
| λ₁tau intercept | 0.0269 | 1.77* |
| λ₂forecast adj. | 0.1725 | 1.92* |
| λ₃tau persistence | 0.0000 | 0.00 |
0.995
Persistence133d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0283 | 4.57*** |
β GARCH Volatility persistence | 0.9617 | 183.08*** |
γ leverage Additional response to negative shocks | 0.0096 | 1.35 |
λ₁ tau intercept Baseline long-term coefficient | 0.0269 | 1.77* |
λ₂ forecast adj. Forecast performance sensitivity | 0.1725 | 1.92* |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.995
Half-life:
133 days
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