Bloomberg Sterling Gilt Bond Index Total Return Value Unhedged GBP GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
6.33%
decreased by 0.11%
1 Week
6.34%
decreased by 0.10%
1 Month
6.37%
decreased by 0.07%
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
Aug 1, 2003 to Apr 4, 2025Model Insight
With persistence 0.996, volatility shocks have a half-life of 197 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.36 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 | 0.2109 | 8.42*** |
α ARCH Response to squared shocks | 0.0372 | 36.50*** |
β GARCH Volatility persistence | 0.9965 | 2,730.11*** |
ν DF Student-t tail thickness | 10.3622 | 3.98*** |
Persistence:
0.996
Half-life:
197 days
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