Bloomberg Global High-Yield Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.74%
increased by 0.55%
1 Week
4.75%
increased by 0.56%
1 Month
4.78%
increased by 0.59%
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
Jan 1, 1999 to Oct 8, 2026Model Insight
Volatility shocks decay with a half-life of 32 trading days, meaning a shock loses half its impact after approximately 32 days. Returns follow a Student-t distribution with v = 5.31 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 32-day half-lifev = 5.31 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.0970 | 1.58 |
| αscore | 0.1333 | 8.52*** |
| βpersistence | 0.9784 | 74.05*** |
| νDF | 5.3122 | 2.81*** |
0.978
Persistence32d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.0970 | 1.58 |
α score Weight on the scaled score | 0.1333 | 8.52*** |
β persistence Volatility persistence | 0.9784 | 74.05*** |
ν DF Student-t tail thickness | 5.3122 | 2.81*** |
Persistence:
0.978
Half-life:
32 days
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