Skip to main content
V-Lab

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, March 27th, 2026

1 Day

-0.00%

decreased by 2.97%

1 Week

0.43%

decreased by 2.54%

1 Month

1.03%

decreased by 1.94%

Analysis last updated: Monday, March 30, 2026 at 09:56 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Bloomberg Japanese Aggregate Bond Index Total Return Value Unhedged JPY MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time
paramt-stat
m26
α1.00009,999,900.00
β0.0000100.00
γ0.00000.00
λ10.00346.77
λ21.000019.81
λ30.00000.00
Estimation Period:
Jun 30, 2000 to Apr 4, 2025