Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, July 17th, 2026
1 Day
4.74%
decreased by 0.04%
1 Week
4.72%
decreased by 0.06%
1 Month
4.67%
decreased by 0.11%
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 0.995, volatility shocks have a half-life of 139 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.42 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0393 | 7.67*** |
α ARCH Response to squared shocks | 0.1059 | 44.34*** |
β GARCH Volatility persistence | 0.9950 | 1,773.68*** |
ν DF Student-t tail thickness | 5.4203 | 13.65*** |
Persistence:
0.995
Half-life:
139 days
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