Bond Market Data
Yield Volatility - 10yr LCY Bonds
Yield Volatility - 10-year Local Currency Bonds
Yield volatility is calculated as the standard deviation of the daily yield changes over the last 21 trading days (calendar month proxy). Daily yield changes are computed from the previous closing bid yields of local currency (LCY) benchmark 10-year government bonds provided by Bloomberg. Yield volatility is an indicator of risk arising from movements in interest rates. High volatility suggests less predictability of daily movements in bond yields. A number near zero indicates that daily bond yields are clustered around the average yield. This implies that yields are relatively stable during the period covered.
Note on the Data:
AsianBondsOnline calculations based on Bloomberg LP data.