Bloomberg Global High-Yield Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.18%
increased by 0.07%
1 Week
4.16%
increased by 0.05%
1 Month
4.20%
increased by 0.09%
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
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 135% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 135% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 26 | |
| αARCH | 0.1080 | 7.13*** |
| βGARCH | 0.7039 | 24.38*** |
| γleverage | 0.1454 | 5.48*** |
| λ₁tau intercept | 0.0008 | 2.38** |
| λ₂forecast adj. | 0.0736 | 3.47*** |
| λ₃tau persistence | 0.9173 | 39.62*** |
0.885
Persistence6d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.1080 | 7.13*** |
β GARCH Volatility persistence | 0.7039 | 24.38*** |
γ leverage Additional response to negative shocks | 0.1454 | 5.48*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0008 | 2.38** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0736 | 3.47*** |
λ₃ tau persistence Long-term factor persistence | 0.9173 | 39.62*** |
Persistence:
0.885
Half-life:
6 days
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