Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
4.06%
decreased by 0.10%
1 Week
4.07%
decreased by 0.09%
1 Month
4.12%
decreased by 0.04%
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
Jan 15, 2001 to Apr 4, 2025Model Insight
With persistence 0.996, volatility shocks have a half-life of 171 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.40 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 | 0.1139 | 5.71*** |
α ARCH Response to squared shocks | 0.0372 | 37.96*** |
β GARCH Volatility persistence | 0.9960 | 1,513.61*** |
ν DF Student-t tail thickness | 7.3987 | 5.52*** |
Persistence:
0.996
Half-life:
171 days
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