Bloomberg Global High Yield Total Return Index Value Hedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.68%
1 Week
3.75%
1 Month
3.94%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Oct 8, 2026Model Insight
With persistence 0.995, volatility shocks have a half-life of 138 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 314% more than positive returns
MF2-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| mwindow | 116 | |
| αARCH | 0.0384 | 2.82*** |
| βGARCH | 0.8964 | 80.82*** |
| γleverage | 0.1204 | 7.03*** |
| λ₁tau intercept | 0.0476 | 0.84 |
| λ₂forecast adj. | 0.7329 | 1.03 |
| λ₃tau persistence | 0.0000 | 0.00 |
0.995
Persistence138d
Half-lifeMF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 116 | |
α ARCH Response to squared shocks | 0.0384 | 2.82*** |
β GARCH Volatility persistence | 0.8964 | 80.82*** |
γ leverage Additional response to negative shocks | 0.1204 | 7.03*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0476 | 0.84 |
λ₂ forecast adj. Forecast performance sensitivity | 0.7329 | 1.03 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.995
Half-life:
138 days
Other Bloomberg Global High Yield Total Return Index Value Hedged USD Analyses
Other MF2-GARCH Analyses on Bond Indices