Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY APARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Friday, July 17th, 2026
1 Day
5.10%
1 Week
5.11%
1 Month
5.16%
Analysis last updated: Friday, July 17, 2026 at 11:36 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Apr 4, 2025Model Insight
With persistence 1.000, volatility shocks have a half-life of 32229908 trading days (~127896.5 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 33% more than negative returns
APARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 4.13*** |
α ARCH Response to squared shocks | 0.1499 | 20.11*** |
β GARCH Volatility persistence | 0.8501 | 114.84*** |
γ leverage Additional response to negative shocks | -0.0719 | -4.03*** |
δ power Transformation power | 1.9861 | 18.40*** |
Persistence:
1.000
Half-life:
32229908 days
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