Bloomberg Global High-Yield Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.46%
decreased by 0.22%
1 Week
2.62%
decreased by 0.06%
1 Month
3.11%
increased by 0.43%
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
Jan 1, 1999 to Apr 4, 2025Model Insight
Volatility shocks decay with a half-life of 33 trading days, meaning a shock loses half its impact after approximately 33 days. Returns follow a Student-t distribution with v = 5.32 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 | 0.1017 | 5.90*** |
α ARCH Response to squared shocks | 0.1358 | 33.16*** |
β GARCH Volatility persistence | 0.9790 | 285.33*** |
ν DF Student-t tail thickness | 5.3166 | 11.04*** |
Persistence:
0.979
Half-life:
33 days
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