Bloomberg US Corporate High-Yield Bond Index Total Return Value Unhedged USD Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.09%
increased by 0.53%
1 Week
4.15%
increased by 0.59%
1 Month
4.38%
increased by 0.82%
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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 64 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 2.2564 | 2.13** |
| αARCH | 0.2540 | 11.69*** |
| βGARCH | 0.7353 | 36.38*** |
Spline Coefficients
K=9
| γ1 | -0.3246 | -2.48** |
| γ2 | 0.7097 | 3.25*** |
| γ3 | -0.6536 | -3.61*** |
| γ4 | 0.3455 | 2.21** |
| γ5 | -0.0664 | -0.55 |
| γ6 | -0.0107 | -0.08 |
| γ7 | 0.0841 | 0.44 |
| γ8 | -0.2302 | -1.25 |
| γ9 | 0.2092 | 1.91* |
0.989
Persistence64d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.2564 | 2.13** |
α ARCH Response to squared shocks | 0.2540 | 11.69*** |
β GARCH Volatility persistence | 0.7353 | 36.38*** |
Spline Coefficients
K=9
| γ1 | -0.3246 | -2.48** |
| γ2 | 0.7097 | 3.25*** |
| γ3 | -0.6536 | -3.61*** |
| γ4 | 0.3455 | 2.21** |
| γ5 | -0.0664 | -0.55 |
| γ6 | -0.0107 | -0.08 |
| γ7 | 0.0841 | 0.44 |
| γ8 | -0.2302 | -1.25 |
| γ9 | 0.2092 | 1.91* |
Persistence:
0.989
Half-life:
64 days
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