Bloomberg Short Treasury Total Return Index Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
0.26%
unchanged at 0.00%
1 Week
0.29%
increased by 0.03%
1 Month
0.36%
increased by 0.10%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: volatility responds almost entirely to negative shocks. The ARCH response to positive shocks is negligible.
σ
MF2-GARCH Model
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Leverage: volatility responds almost entirely to negative shocks
| Param | Value | t-stat |
|---|---|---|
| mwindow | 31 | |
| αARCH | 0.0337 | 1.23 |
| βGARCH | 0.6339 | 5.85*** |
| γleverage | 0.2162 | 2.59*** |
| λ₁tau intercept | 0.0000 | 2.00** |
| λ₂forecast adj. | 1.0000 | 18.02*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.776
Persistence3d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.0337 | 1.23 |
β GARCH Volatility persistence | 0.6339 | 5.85*** |
γ leverage Additional response to negative shocks | 0.2162 | 2.59*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 2.00** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 18.02*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.776
Half-life:
3 days
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