V-Lab
Bloomberg Asian Pacific Japanese Yen TR Index Value Unhedged JPY MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
4.27%
1 Week
4.31%
1 Month
4.36%
Analysis last updated: Monday, August 24, 2026 at 08:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 17, 2019 to Aug 20, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 63% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 56 | |
α ARCH Response to squared shocks | 0.2234 | 18.44*** |
β GARCH Volatility persistence | 0.6839 | 64.47*** |
γ leverage Additional response to negative shocks | -0.0865 | -6.95*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0010 | 8.58*** |
λ₂ forecast adj. Forecast performance sensitivity | 1.0000 | 34.29*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.864
Half-life:
5 days
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