Bloomberg US MBS Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
6.27%
1 Week
6.27%
1 Month
6.25%
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
Jan 1, 1990 to Oct 8, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 449 trading days (~1.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.69 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.0965 | 2.30** |
| αscore | 0.0677 | 18.93*** |
| βpersistence | 0.9985 | 1,543.21*** |
| νDF | 6.6916 | 5.39*** |
0.998
Persistence449d
Half-lifeGAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.0965 | 2.30** |
α score Weight on the scaled score | 0.0677 | 18.93*** |
β persistence Volatility persistence | 0.9985 | 1,543.21*** |
ν DF Student-t tail thickness | 6.6916 | 5.39*** |
Persistence:
0.998
Half-life:
449 days
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