Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, May 22nd, 2026
1 Day
3.86%
decreased by 0.98%
1 Week
4.73%
decreased by 0.11%
1 Month
6.31%
increased by 1.47%
Analysis last updated: Saturday, May 23, 2026 at 01:56 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 86 | ||
| 1.0000 | 9,999,900.00 | |
| 0.0000 | 100.00 | |
| 0.0000 | 0.00 | |
| 10.0000 | 24.85 | |
| 0.3940 | 90.68 | |
| 0.6060 | 87.71 |
Estimation Period:
Jun 30, 2000 to Apr 4, 2025
Jun 30, 2000 to Apr 4, 2025
Other Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY Analyses
Other MF2-GARCH Analyses on Bond Indices