Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
2.02%
decreased by 0.19%
1 Week
2.15%
decreased by 0.06%
1 Month
2.58%
increased by 0.37%
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 1, 1999 to Apr 4, 2025Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.27 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 | 1.0419 | 6.61*** |
α ARCH Response to squared shocks | 0.1210 | 122.76*** |
β GARCH Volatility persistence | 0.9990 | 6,795.92*** |
ν DF Student-t tail thickness | 3.2720 | 116.55*** |
Persistence:
0.999
Half-life:
693 days
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