V-Lab: Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY AGARCH Volatility Analysis

V-Lab

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V-Lab

Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY AGARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:6.67% (-0.07%)

Analysis last updated: Friday, May 10, 2024 at 08:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0004	10.08
$α$	0.0963	28.79
$β$	0.8909	263.66
$γ$	0.0497	13.36

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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