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Bloomberg China Treasury + Policy Bank Bond Index Total Return Unhedged CNY MF2-GARCH Volatility Analysis

Volatility prediction for Friday, October 16th, 2026

1 Day

0.68%

decreased by 0.06%

1 Week

0.84%

increased by 0.10%

1 Month

0.99%

increased by 0.25%

Analysis last updated: Friday, October 16, 2026 at 11:50 PM UTC

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Date Range:

from

10/15/2024

to

10/15/2026

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

Parameter Estimates

Nov 2, 2016 to Oct 8, 2026

Model Insight

This asset exhibits a strong leverage effect: negative returns increase next-day volatility 212% more than equivalent positive returns.

σ

MF2-GARCH Model

Tap to view equation

Leverage: Negative returns increase volatility 212% more than positive returns
ParamValuet-stat
mwindow21
αARCH0.1543
2.32**
βGARCH0.0386
0.87
γleverage0.3278
2.72***
λ₁tau intercept0.0004
2.21**
λ₂forecast adj.0.2656
2.27**
λ₃tau persistence0.7103
6.50***

0.357

Persistence

1d

Half-life
σ

MF2-GARCH Model

Tap to view equation

ParameterValuet-statistic
m

window

Rolling window length

21
α

ARCH

Response to squared shocks

0.1543
2.32**
β

GARCH

Volatility persistence

0.0386
0.87
γ

leverage

Additional response to negative shocks

0.3278
2.72***
λ₁

tau intercept

Baseline long-term coefficient

0.0004
2.21**
λ₂

forecast adj.

Forecast performance sensitivity

0.2656
2.27**
λ₃

tau persistence

Long-term factor persistence

0.7103
6.50***

Persistence:

0.357

Half-life:

1 days