Bloomberg US MBS Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
5.54%
increased by 0.10%
1 Week
5.60%
increased by 0.16%
1 Month
5.59%
increased by 0.15%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
Press Delete or Backspace to remove this series.
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 233% more than equivalent positive returns.
σ
MF2-GARCH Model
Tap to view equation
Leverage: Negative returns increase volatility 233% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 21 | |
| αARCH | 0.0384 | 3.16*** |
| βGARCH | 0.8259 | 38.99*** |
| γleverage | 0.0894 | 4.92*** |
| λ₁tau intercept | 0.0001 | 2.17** |
| λ₂forecast adj. | 0.0816 | 4.73*** |
| λ₃tau persistence | 0.9184 | 54.63*** |
0.909
Persistence7d
Half-lifeσ
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0384 | 3.16*** |
β GARCH Volatility persistence | 0.8259 | 38.99*** |
γ leverage Additional response to negative shocks | 0.0894 | 4.92*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0001 | 2.17** |
λ₂ forecast adj. Forecast performance sensitivity | 0.0816 | 4.73*** |
λ₃ tau persistence Long-term factor persistence | 0.9184 | 54.63*** |
Persistence:
0.909
Half-life:
7 days
Other Bloomberg US MBS Bond Index Total Return Value Unhedged USD Analyses
Other MF2-GARCH Analyses on Bond Indices