Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
3.49%
decreased by 0.08%
1 Week
3.48%
decreased by 0.09%
1 Month
3.46%
decreased by 0.11%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 2000 to Apr 4, 2025Model Insight
With persistence 0.994, volatility shocks have a half-life of 125 trading days (~0.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.97 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0332 | 5.50*** |
α ARCH Response to squared shocks | 0.0581 | 43.72*** |
β GARCH Volatility persistence | 0.9945 | 1,116.12*** |
ν DF Student-t tail thickness | 5.9711 | 9.57*** |
Persistence:
0.994
Half-life:
125 days
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