Bloomberg Asian Pacific Aggregate Bond Index Total Return Value Unhedged JPY MF2-GARCH Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
5.01%
increased by 0.01%
1 Week
5.26%
increased by 0.26%
1 Month
5.55%
increased by 0.55%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 30, 2000 to Oct 8, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 319% more than equivalent positive returns.
σ
MF2-GARCH Model
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Leverage: Negative returns increase volatility 319% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| mwindow | 26 | |
| αARCH | 0.0373 | 2.41** |
| βGARCH | 0.7642 | 15.39*** |
| γleverage | 0.1190 | 2.99*** |
| λ₁tau intercept | 0.0001 | 1.01 |
| λ₂forecast adj. | 0.0412 | 2.72*** |
| λ₃tau persistence | 0.9575 | 55.21*** |
0.861
Persistence5d
Half-lifeσ
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 26 | |
α ARCH Response to squared shocks | 0.0373 | 2.41** |
β GARCH Volatility persistence | 0.7642 | 15.39*** |
γ leverage Additional response to negative shocks | 0.1190 | 2.99*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0001 | 1.01 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0412 | 2.72*** |
λ₃ tau persistence Long-term factor persistence | 0.9575 | 55.21*** |
Persistence:
0.861
Half-life:
5 days
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