Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, October 16th, 2026
1 Day
0.86%
decreased by 0.05%
1 Week
0.90%
decreased by 0.01%
1 Month
1.02%
increased by 0.11%
Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 2, 2016 to Oct 8, 2026Model Insight
Volatility shocks decay with a half-life of 22 trading days, meaning a shock loses half its impact after approximately 22 days. Returns follow a Student-t distribution with v = 4.14 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 22-day half-lifev = 4.14 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.0075 | 1.23 |
| αscore | 0.1004 | 4.82*** |
| βpersistence | 0.9693 | 40.73*** |
| νDF | 4.1444 | 2.17** |
0.969
Persistence22d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.0075 | 1.23 |
α score Weight on the scaled score | 0.1004 | 4.82*** |
β persistence Volatility persistence | 0.9693 | 40.73*** |
ν DF Student-t tail thickness | 4.1444 | 2.17** |
Persistence:
0.969
Half-life:
22 days
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