Bloomberg Japanese 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
-0.00%
decreased by 3.40%
1 Week
0.46%
decreased by 2.94%
1 Month
1.13%
decreased by 2.27%
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 | |
|---|---|---|
| 26 | ||
| 1.0000 | 9,999,900.00 | |
| 0.0000 | 100.00 | |
| 0.0000 | 0.00 | |
| 0.0034 | 6.77 | |
| 1.0000 | 19.81 | |
| 0.0000 | 0.00 |
Estimation Period:
Jun 30, 2000 to Apr 4, 2025
Jun 30, 2000 to Apr 4, 2025
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