Bloomberg US Intermediate Credit Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
3.00%
increased by 0.07%
1 Week
3.00%
increased by 0.07%
1 Month
3.02%
increased by 0.09%
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
Jun 28, 1991 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 150% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 150% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 86 | |
| αARCH | 0.0257 | 2.35** |
| βGARCH | 0.9008 | 62.85*** |
| γleverage | 0.0386 | 3.18*** |
| λ₁tau intercept | 0.0013 | 2.04** |
| λ₂forecast adj. | 0.2775 | 3.39*** |
| λ₃tau persistence | 0.7001 | 7.75*** |
0.946
Persistence12d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 86 | |
α ARCH Response to squared shocks | 0.0257 | 2.35** |
β GARCH Volatility persistence | 0.9008 | 62.85*** |
γ leverage Additional response to negative shocks | 0.0386 | 3.18*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0013 | 2.04** |
λ₂ forecast adj. Forecast performance sensitivity | 0.2775 | 3.39*** |
λ₃ tau persistence Long-term factor persistence | 0.7001 | 7.75*** |
Persistence:
0.946
Half-life:
12 days
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