Bloomberg US MBS Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, July 17th, 2026
1 Day
4.45%
1 Week
4.46%
1 Month
4.50%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Apr 4, 2025Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 110% more than positive returns
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0002 | 15.08*** |
α ARCH Response to squared shocks | 0.0446 | 15.90*** |
β GARCH Volatility persistence | 0.9310 | 508.17*** |
γ leverage Additional response to negative shocks | 0.0489 | 9.93*** |
Persistence:
1.000
Half-life:
-
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