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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:2.67% (-0.13%)

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
$ω$	1.2925	3.26
$α$	0.0928	8.08
$β$	0.8969	73.50
$γ_{1}$	0.0004	0.56

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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