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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	26
αARCH	0.1015	3.13***
βGARCH	0.6734	13.44***
γleverage	0.0704	1.85*
λ₁tau intercept	0.0005	1.56
λ₂forecast adj.	0.1334	2.18**
λ₃tau persistence	0.8463	12.78***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1015	3.13***
β GARCH Volatility persistence	0.6734	13.44***
γ leverage Additional response to negative shocks	0.0704	1.85*
λ₁ tau intercept Baseline long-term coefficient	0.0005	1.56
λ₂ forecast adj. Forecast performance sensitivity	0.1334	2.18**
λ₃ tau persistence Long-term factor persistence	0.8463	12.78***

V-Lab

Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY Analyses