Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, July 17th, 2026
1 Day
2.04%
1 Week
2.22%
1 Month
2.82%
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
Sep 21, 2001 to Apr 4, 2025Model Insight
With persistence 1.000, volatility shocks have a half-life of 1386294 trading days (~5501.2 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 110% more than positive returns
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0015 | 25.78*** |
α ARCH Response to squared shocks | 0.1337 | 23.36*** |
β GARCH Volatility persistence | 0.7927 | 203.19*** |
γ leverage Additional response to negative shocks | 0.1474 | 12.38*** |
Persistence:
1.000
Half-life:
1386294 days
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