Bloomberg Pan European Aggregate Bond Index Total Return Value Unhedged EUR GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
3.90%
decreased by 0.05%
1 Week
3.89%
decreased by 0.06%
1 Month
3.89%
decreased by 0.06%
Analysis last updated: Friday, July 17, 2026 at 11:35 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 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 32% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0005 | 15.47*** |
α ARCH Response to squared shocks | 0.0375 | 17.02*** |
β GARCH Volatility persistence | 0.9475 | 489.41*** |
γ leverage Additional response to negative shocks | 0.0122 | 2.79*** |
Persistence:
0.991
Half-life:
77 days
Other Bloomberg Pan European Aggregate Bond Index Total Return Value Unhedged EUR Analyses
Other GJR-GARCH Analyses on Bond Indices