Bloomberg Global High Yield Total Return Index Value Hedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.11%
decreased by 0.17%
1 Week
2.25%
decreased by 0.03%
1 Month
2.71%
increased by 0.43%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Apr 4, 2025Model Insight
With persistence 0.993, volatility shocks have a half-life of 98 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.12 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1884 | 6.80*** |
α ARCH Response to squared shocks | 0.1343 | 49.53*** |
β GARCH Volatility persistence | 0.9930 | 968.73*** |
ν DF Student-t tail thickness | 4.1244 | 28.40*** |
Persistence:
0.993
Half-life:
98 days
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