Bloomberg US Treasury Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
4.11%
1 Week
4.06%
1 Month
3.97%
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
With persistence 0.997, volatility shocks have a half-life of 237 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0290 | 5.09*** |
| βGARCH | 0.9730 | 210.24*** |
| γleverage | -0.0099 | -1.62 |
| λ₁tau intercept | 0.0606 | 1.38 |
| λ₂forecast adj. | 0.2363 | 1.54 |
| λ₃tau persistence | 0.0000 | 0.00 |
0.997
Persistence237d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0290 | 5.09*** |
β GARCH Volatility persistence | 0.9730 | 210.24*** |
γ leverage Additional response to negative shocks | -0.0099 | -1.62 |
λ₁ tau intercept Baseline long-term coefficient | 0.0606 | 1.38 |
λ₂ forecast adj. Forecast performance sensitivity | 0.2363 | 1.54 |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.997
Half-life:
237 days
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