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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, April 26th, 2024:1.12% (-0.81%)

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
$ω$	4.2975	4.31
$α$	0.4424	4.76
$β$	0.1778	2.39
$γ_{1}$	-3.3916	-1.75
$γ_{2}$	8.5261	2.81
$γ_{3}$	-5.8020	-2.70
$γ_{4}$	-0.3868	-0.23
$γ_{5}$	3.7205	3.00
$γ_{6}$	-7.0882	-4.31
$γ_{7}$	7.4329	3.40
$γ_{8}$	-3.5521	-1.79
$γ_{9}$	-0.6611	-0.33
$γ_{10}$	3.6491	1.54

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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