V-Lab
Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, May 10th, 2024:2.36% (+0.09%)
Analysis last updated: Friday, May 10, 2024 at 08:58 PM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0003 | 10.27 | |
| 0.0884 | 15.90 | |
| 0.8956 | 293.75 | |
| 0.0120 | 1.31 |
Estimation Period:
Jun 30, 2000 to Sep 29, 2023
Jun 30, 2000 to Sep 29, 2023
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