Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.00%
increased by 0.02%
1 Week
4.09%
increased by 0.11%
1 Month
4.42%
increased by 0.44%
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
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 147% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 147% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 31 | |
| αARCH | 0.1425 | 7.96*** |
| βGARCH | 0.7007 | 31.30*** |
| γleverage | 0.2100 | 7.64*** |
| λ₁tau intercept | 0.0009 | 1.96** |
| λ₂forecast adj. | 0.0724 | 2.71*** |
| λ₃tau persistence | 0.9182 | 31.49*** |
0.948
Persistence13d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.1425 | 7.96*** |
β GARCH Volatility persistence | 0.7007 | 31.30*** |
γ leverage Additional response to negative shocks | 0.2100 | 7.64*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0009 | 1.96** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0724 | 2.71*** |
λ₃ tau persistence Long-term factor persistence | 0.9182 | 31.49*** |
Persistence:
0.948
Half-life:
13 days
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