Bloomberg Pan European Aggregate Bond Index Total Return Value Unhedged EUR GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
3.71%
decreased by 0.05%
1 Week
3.71%
decreased by 0.05%
1 Month
3.71%
decreased by 0.05%
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 0.992, volatility shocks have a half-life of 90 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 9.01 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 | 0.0530 | 8.83*** |
α ARCH Response to squared shocks | 0.0406 | 29.23*** |
β GARCH Volatility persistence | 0.9923 | 989.35*** |
ν DF Student-t tail thickness | 9.0108 | 3.91*** |
Persistence:
0.992
Half-life:
90 days
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