Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, March 27th, 2026
1 Day
12.54%
increased by 6.41%
1 Week
37.25%
increased by 31.12%
1 Month
10,014.04%
increased by 10,007.91%
Analysis last updated: Monday, March 30, 2026 at 09:57 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 26 | ||
| 0.7068 | 7,067,550.00 | |
| 0.0432 | 432,450.00 | |
| 0.5000 | 5,000,000.00 | |
| 0.0121 | 13.69 | |
| 0.9423 | 25.49 | |
| 0.0000 | 0.00 |
Estimation Period:
Jan 15, 2001 to Apr 4, 2025
Jan 15, 2001 to Apr 4, 2025
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