Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
1.45%
decreased by 0.12%
1 Week
1.54%
decreased by 0.03%
1 Month
1.82%
increased by 0.25%
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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 40 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.4528 | 2.48** |
α ARCH Response to squared shocks | 0.1979 | 10.27*** |
β GARCH Volatility persistence | 0.7848 | 43.12*** |
Spline Coefficients
K=10
| γ1 | 0.2203 | 1.08 |
| γ2 | -1.0084 | -3.07*** |
| γ3 | 1.9644 | 5.54*** |
| γ4 | -1.8372 | -5.56*** |
| γ5 | 0.7129 | 3.49*** |
| γ6 | 0.0891 | 0.63 |
| γ7 | -0.2931 | -1.58 |
| γ8 | 0.2745 | 1.38 |
| γ9 | -0.1760 | -1.31 |
| γ10 | 0.0694 | 0.93 |
Persistence:
0.983
Half-life:
40 days
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