V-Lab
Bloomberg Global Aggregate Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
4.19%
1 Week
4.20%
1 Month
4.23%
Analysis last updated: Monday, August 24, 2026 at 08:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1999 to Aug 20, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 32% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0645 | 10.55*** |
β GARCH Volatility persistence | 0.7942 | 28.01*** |
γ leverage Additional response to negative shocks | -0.0158 | -2.75*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0006 | 1.08 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0425 | 1.57 |
λ₃ tau persistence Long-term factor persistence | 0.9525 | 31.59*** |
Persistence:
0.851
Half-life:
4 days
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