Bloomberg US Municipal Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
10.40%
increased by 5.77%
1 Week
8.88%
increased by 4.25%
1 Month
7.29%
increased by 2.66%
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
Sep 18, 2001 to Oct 8, 2026Model Insight
This asset exhibits a modest leverage effect: negative returns increase next-day volatility 37% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 37% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 26 | |
| αARCH | 0.2983 | 9.43*** |
| βGARCH | 0.3231 | 7.30*** |
| γleverage | 0.1101 | 2.14** |
| λ₁tau intercept | 0.0016 | 1.88* |
| λ₂forecast adj. | 0.2296 | 2.41** |
| λ₃tau persistence | 0.7259 | 6.22*** |
0.676
Persistence2d
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 | 0.2983 | 9.43*** |
β GARCH Volatility persistence | 0.3231 | 7.30*** |
γ leverage Additional response to negative shocks | 0.1101 | 2.14** |
λ₁ tau intercept Baseline long-term coefficient | 0.0016 | 1.88* |
λ₂ forecast adj. Forecast performance sensitivity | 0.2296 | 2.41** |
λ₃ tau persistence Long-term factor persistence | 0.7259 | 6.22*** |
Persistence:
0.676
Half-life:
2 days
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