Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
2.64%
increased by 0.29%
1 Week
2.65%
increased by 0.30%
1 Month
2.78%
increased by 0.43%
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
Jan 1, 1999 to Oct 8, 2026Model Insight
This asset exhibits a notable leverage effect: negative returns increase next-day volatility 87% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 87% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.1647 | 6.19*** |
| βGARCH | 0.6690 | 24.82*** |
| γleverage | 0.1441 | 3.73*** |
| λ₁tau intercept | 0.0001 | 0.94 |
| λ₂forecast adj. | 0.0416 | 3.25*** |
| λ₃tau persistence | 0.9584 | 72.62*** |
0.906
Persistence7d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.1647 | 6.19*** |
β GARCH Volatility persistence | 0.6690 | 24.82*** |
γ leverage Additional response to negative shocks | 0.1441 | 3.73*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0001 | 0.94 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0416 | 3.25*** |
λ₃ tau persistence Long-term factor persistence | 0.9584 | 72.62*** |
Persistence:
0.906
Half-life:
7 days
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