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V-Lab

Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY 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

0.54%

increased by 0.13%

1 Week

1,337,186,604,778.85%

increased by 1,337,186,604,778.44%

1 Month

604,173,882,255,762,700,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%

increased by 604,173,882,255,762,700,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

All

graph of Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time
paramt-stat
m56
α0.88478,846,840.00
β0.0000100.00
γ0.23062,306,130.00
λ10.00556.04
λ20.437711.73
λ30.00000.00
Estimation Period:
Nov 2, 2016 to Apr 4, 2025