Bloomberg US Intermediate Government/Credit Bond Index Total Return Unhedged USD APARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.71%
1 Week
2.72%
1 Month
2.76%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 1994 to Apr 4, 2025Model Insight
With persistence 0.995, volatility shocks have a half-life of 127 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.65 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Leverage: Negative returns increase volatility 17% more than positive returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0005 | 9.33*** |
α ARCH Response to squared shocks | 0.0520 | 32.26*** |
β GARCH Volatility persistence | 0.9480 | 591.00*** |
γ leverage Additional response to negative shocks | 0.0479 | 3.43*** |
δ power Transformation power | 1.6515 | 32.72*** |
Persistence:
0.995
Half-life:
127 days
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