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

Volatility prediction for Friday, October 16th, 2026

1 Day

0.46%

decreased by 0.20%

1 Week

0.49%

decreased by 0.17%

1 Month

0.50%

decreased by 0.16%

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 S0GARCH

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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 1 trading day.

τ

Zero Slope Spline-GARCH Model

Tap to view equation

Time-varying baseline: volatility reverts to a slowly-shifting spline trend
ParamValuet-stat
ωconst1.8468
3.73***
αARCH0.3690
5.16***
βGARCH0.1591
1.95*
∑γi Spline Coefficients
K=10
γ13.1795
3.62***
γ2-4.3778
-3.12***
γ32.4728
2.29**
γ4-3.3502
-3.00***
γ53.7434
3.42***
γ6-2.8615
-3.49***
γ72.2804
3.82***
γ8-1.2642
-2.51**
γ9-0.9142
-1.98**
γ101.9190
5.55***

0.528

Persistence

1d

Half-life
τ

Zero Slope Spline-GARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

1.8468
3.73***
α

ARCH

Response to squared shocks

0.3690
5.16***
β

GARCH

Volatility persistence

0.1591
1.95*
∑γi Spline Coefficients
K=10
γ13.1795
3.62***
γ2-4.3778
-3.12***
γ32.4728
2.29**
γ4-3.3502
-3.00***
γ53.7434
3.42***
γ6-2.8615
-3.49***
γ72.2804
3.82***
γ8-1.2642
-2.51**
γ9-0.9142
-1.98**
γ101.9190
5.55***

Persistence:

0.528

Half-life:

1 days