Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.73%
1 Week
3.79%
1 Month
4.04%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1999 to Oct 8, 2026Model 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 = 3.32 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 1.0094 | 1.62 |
| αscore | 0.1260 | 32.00*** |
| βpersistence | 0.9990 | 1,662.23*** |
| νDF | 3.3191 | 28.71*** |
0.999
Persistence693d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 1.0094 | 1.62 |
α score Weight on the scaled score | 0.1260 | 32.00*** |
β persistence Volatility persistence | 0.9990 | 1,662.23*** |
ν DF Student-t tail thickness | 3.3191 | 28.71*** |
Persistence:
0.999
Half-life:
693 days
Other Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR Analyses
Other GAS-GARCH Student T Analyses on Bond Indices