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Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR Zero Slope Spline-GARCH Volatility Analysis

Volatility prediction for Friday, October 16th, 2026

1 Day

2.73%

increased by 0.06%

1 Week

2.74%

increased by 0.07%

1 Month

2.76%

increased by 0.09%

Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC

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Date Range:

from

10/15/2024

to

10/15/2026

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bloomberg Pan Euro High-Yield Bond Index Total Return Value Unhedged EUR S0GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Jan 1, 1999 to Oct 8, 2026

Model 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 34 trading days.

τ

Zero Slope Spline-GARCH Model

Tap to view equation

Time-varying baseline: volatility reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst2.5324
2.03**
αARCH0.1921
10.32***
βGARCH0.7880
45.06***
∑γi Spline Coefficients
K=10
γ1-0.0468
-0.25
γ2-0.4164
-1.57
γ31.3147
5.34***
γ4-1.4676
-6.27***
γ50.8282
4.53***
γ6-0.2384
-1.78*
γ70.0254
0.21
γ80.0247
0.13
γ9-0.0700
-0.35
γ100.0800
0.64

0.980

Persistence

34d

Half-life
τ

Zero Slope Spline-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

2.5324
2.03**
α

ARCH

Response to squared shocks

0.1921
10.32***
β

GARCH

Volatility persistence

0.7880
45.06***
∑γi Spline Coefficients
K=10
γ1-0.0468
-0.25
γ2-0.4164
-1.57
γ31.3147
5.34***
γ4-1.4676
-6.27***
γ50.8282
4.53***
γ6-0.2384
-1.78*
γ70.0254
0.21
γ80.0247
0.13
γ9-0.0700
-0.35
γ100.0800
0.64

Persistence:

0.980

Half-life:

34 days