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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 56 | ||
| 0.8847 | 8,846,840.00 | |
| 0.0000 | 100.00 | |
| 0.2306 | 2,306,130.00 | |
| 0.0055 | 6.04 | |
| 0.4377 | 11.73 | |
| 0.0000 | 0.00 |
Estimation Period:
Nov 2, 2016 to Apr 4, 2025
Nov 2, 2016 to Apr 4, 2025
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