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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, May 10th, 2024:5.64% (-0.20%)

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
$ω$	0.0015	8.19
$α$	0.0866	28.91
$β$	0.9134	331.90
$γ$	0.2318	10.73
$δ$	1.3653	23.79

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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