Bloomberg US Treasury 20+ Yr Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
12.06%
1 Week
11.92%
1 Month
11.49%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 1994 to Oct 8, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 166% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 46 | |
| αARCH | 0.0528 | 3.88*** |
| βGARCH | 0.8321 | 19.63*** |
| γleverage | -0.0329 | -2.20** |
| λ₁tau intercept | 0.0912 | 4.41*** |
| λ₂forecast adj. | 0.8655 | 13.07*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.868
Persistence5d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.0528 | 3.88*** |
β GARCH Volatility persistence | 0.8321 | 19.63*** |
γ leverage Additional response to negative shocks | -0.0329 | -2.20** |
λ₁ tau intercept Baseline long-term coefficient | 0.0912 | 4.41*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.8655 | 13.07*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.868
Half-life:
5 days
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