This paper examines and compares the efficiency of Japanese Government bond futures markets (Tokyo Stock Exchange and Singapore Exchange) by GARCH model that can investigate the effect of information arrivals on the volatility persistence. As an empirical result, the announcement of macroeconomics is one of the factors that influence the persistence of JGB futures return volatility in TSE and SGX markets. There is no strong evidence that the efficiency of JGB futures market is different in TSE and SGX. It is 5-30 minutes in SGX and 5-60 minutes in TSE that the volatility persists after the announcement of macroeconomics. It doesn't seem that JGB futures market is efficient in TSE and SGX.