V-Lab: Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:2.99% (-0.05%)

Analysis last updated: Saturday, April 27, 2024 at 05:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0448	3.24
$α$	0.0719	8.25
$β$	0.9227	97.06
$γ_{1}$	-0.0008	-1.13

Estimation Period:
Jun 30, 2000 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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