Bloomberg US Corporate Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.71%
increased by 0.21%
1 Week
4.68%
increased by 0.18%
1 Month
4.72%
increased by 0.22%
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
Jan 1, 1990 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 146% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 146% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 91 | |
| αARCH | 0.0212 | 2.37** |
| βGARCH | 0.9106 | 59.53*** |
| γleverage | 0.0311 | 3.18*** |
| λ₁tau intercept | 0.0156 | 2.81*** |
| λ₂forecast adj. | 0.6752 | 3.25*** |
| λ₃tau persistence | 0.1833 | 0.77 |
0.947
Persistence13d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 91 | |
α ARCH Response to squared shocks | 0.0212 | 2.37** |
β GARCH Volatility persistence | 0.9106 | 59.53*** |
γ leverage Additional response to negative shocks | 0.0311 | 3.18*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0156 | 2.81*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.6752 | 3.25*** |
λ₃ tau persistence Long-term factor persistence | 0.1833 | 0.77 |
Persistence:
0.947
Half-life:
13 days
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