V-Lab: iShares 1-3 Year Treasury Bond ETF Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

iShares 1-3 Year Treasury Bond ETF Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:2.43% (-0.08%)

Analysis last updated: Thursday, April 18, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9204	3.40
$α$	0.0728	6.27
$β$	0.9032	62.00
$γ_{1}$	-0.4099	-2.31
$γ_{2}$	0.8255	3.11
$γ_{3}$	-0.8913	-4.09
$γ_{4}$	0.6062	2.92
$γ_{5}$	0.1651	1.02
$γ_{6}$	-0.5352	-3.54
$γ_{7}$	0.1110	0.62
$γ_{8}$	0.6958	3.07
$γ_{9}$	-1.1071	-2.48

Estimation Period:
Jul 26, 2002 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares 1-3 Year Treasury Bond ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH