Bloomberg US Long Treasury Bond Index Total Return Value Unhedged USD GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
8.16%
decreased by 0.17%
1 Week
8.19%
decreased by 0.14%
1 Month
8.33%
decreased by 0.00%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 1994 to Apr 4, 2025Model Insight
With persistence 0.996, volatility shocks have a half-life of 192 trading days (~0.8 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.53 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5896 | 7.44*** |
α ARCH Response to squared shocks | 0.0361 | 39.48*** |
β GARCH Volatility persistence | 0.9964 | 1,801.79*** |
ν DF Student-t tail thickness | 10.5300 | 3.79*** |
Persistence:
0.996
Half-life:
192 days
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