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V-Lab

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, May 22nd, 2026

1 Day

4.26%

decreased by 3.80%

1 Week

15.42%

increased by 7.36%

1 Month

4,173.55%

increased by 4,165.49%

Analysis last updated: Saturday, May 23, 2026 at 01:56 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Bloomberg Global Aggregate Credit Bond Index Total Return Value Unhedged USD MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time
paramt-stat
m26
α0.70687,067,550.00
β0.0432432,450.00
γ0.50005,000,000.00
λ10.012113.69
λ20.942325.49
λ30.00000.00
Estimation Period:
Jan 15, 2001 to Apr 4, 2025