Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY GJR-GARCH Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
0.82%
decreased by 0.02%
1 Week
0.89%
increased by 0.05%
1 Month
1.08%
increased by 0.24%
Analysis last updated: Friday, July 17, 2026 at 11:35 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Nov 2, 2016 to Apr 4, 2025Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 26% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 8.00*** |
α ARCH Response to squared shocks | 0.1326 | 12.41*** |
β GARCH Volatility persistence | 0.8594 | 99.39*** |
γ leverage Additional response to negative shocks | -0.0273 | -2.33** |
Persistence:
0.978
Half-life:
32 days
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