BondBloxx CCC-Rated USD High Yield Corporate Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
8.55%
decreased by 0.24%
1 Week
8.61%
decreased by 0.18%
1 Month
8.85%
increased by 0.06%
Analysis last updated: Monday, October 19, 2026 at 09:58 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 26, 2022 to Oct 16, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 191 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 = 5.90 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.996, shock half-life ~191 daysv = 5.90 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8817 | 1.79* |
| αARCH | 0.0982 | 7.14*** |
| βGARCH | 0.9964 | 441.65*** |
| νDF | 5.9049 | 1.46 |
0.996
Persistence191d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8817 | 1.79* |
α ARCH Response to squared shocks | 0.0982 | 7.14*** |
β GARCH Volatility persistence | 0.9964 | 441.65*** |
ν DF Student-t tail thickness | 5.9049 | 1.46 |
Persistence:
0.996
Half-life:
191 days
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