Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
4.65%
decreased by 0.03%
1 Week
4.64%
decreased by 0.04%
1 Month
4.57%
decreased by 0.11%
Analysis last updated: Friday, July 17, 2026 at 11:36 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 0.995, volatility shocks have a half-life of 128 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 = 5.34 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 | 0.0291 | 6.06*** |
α ARCH Response to squared shocks | 0.0830 | 63.94*** |
β GARCH Volatility persistence | 0.9946 | 1,175.63*** |
ν DF Student-t tail thickness | 5.3408 | 18.06*** |
Persistence:
0.995
Half-life:
128 days
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