Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.17%
increased by 0.87%
1 Week
4.22%
increased by 0.92%
1 Month
4.40%
increased by 1.10%
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
Sep 21, 2001 to Oct 8, 2026Model Insight
Volatility shocks decay with a half-life of 40 trading days, meaning a shock loses half its impact after approximately 40 days. Returns follow a Student-t distribution with v = 5.02 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 40-day half-lifev = 5.02 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.1206 | 1.53 |
| αscore | 0.2040 | 13.31*** |
| βpersistence | 0.9830 | 92.28*** |
| νDF | 5.0237 | 5.65*** |
0.983
Persistence40d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.1206 | 1.53 |
α score Weight on the scaled score | 0.2040 | 13.31*** |
β persistence Volatility persistence | 0.9830 | 92.28*** |
ν DF Student-t tail thickness | 5.0237 | 5.65*** |
Persistence:
0.983
Half-life:
40 days
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