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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, May 22nd, 2026

1 Day

0.59%

increased by 0.18%

1 Week

1,400,472,440,285.78%

increased by 1,400,472,440,285.37%

1 Month

555,761,207,714,248,550,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%

increased by 555,761,207,714,248,550,000,000,000,000,000,000,000,000,000,000,000,000,000,000,000.00%

Analysis last updated: Saturday, May 23, 2026 at 01:56 AM 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