Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY GJR-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, July 17th, 2026
1 Day
5.08%
1 Week
5.10%
1 Month
5.15%
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
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: Positive returns increase volatility 30% more than negative returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0003 | 14.06*** |
α ARCH Response to squared shocks | 0.1694 | 11.24*** |
β GARCH Volatility persistence | 0.8503 | 139.14*** |
γ leverage Additional response to negative shocks | -0.0393 | -2.16** |
Persistence:
1.000
Half-life:
-
Other Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY Analyses
Other GJR-GARCH Analyses on Bond Indices