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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:0.85% (-0.93%)

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
$ω$	4.8347	4.78
$α$	0.4503	4.84
$β$	0.1886	2.58
$γ_{1}$	-2.3913	-1.25
$γ_{2}$	7.1222	2.36
$γ_{3}$	-5.2398	-2.44
$γ_{4}$	-0.5898	-0.35
$γ_{5}$	3.7676	3.03
$γ_{6}$	-7.1175	-4.28
$γ_{7}$	7.5423	3.41
$γ_{8}$	-3.8418	-1.95
$γ_{9}$	0.1056	0.06
$γ_{10}$	1.3233	0.95

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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