V-Lab: Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:1.32% (+0.01%)

Analysis last updated: Friday, May 3, 2024 at 06:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1311	5.09
$β$	0.0000	0.00
$γ$	0.3066	6.85
$λ_{1}$	0.0006	0.77
$λ_{2}$	0.2198	0.87
$λ_{3}$	0.7395	3.73

Estimation Period:
Jan 29, 2004 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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