V-Lab: Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:2.72% (-0.14%)

Analysis last updated: Saturday, April 27, 2024 at 05:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0003	10.27
$α$	0.0884	15.90
$β$	0.8956	293.75
$γ$	0.0120	1.31

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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