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ISHARES BARCLAYS 10-20 YEAR ZERO SLOPE SPLINE-GARCH VOLATILITY GRAPH
?
Volatility Prediction for Wednesday, May 22:
7.84% (-0.04)
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iShares Barclays 10-20 Year
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Date Range:
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Window:
3m
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6m
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1y
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2y
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5y
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all
Volatility Summary Table
Closing Price (USD)
:
$133.36
Return
:
0.44%
1 Week Pred
:
7.85%
Avg Week Vol
:
7.92%
Avg Month Vol
:
7.72%
1 Month Pred
:
7.87%
Min Vol
:
4.69%
Max Vol
:
20.32%
6 Months Pred
:
7.94%
Avg Vol
:
10.4%
Vol of Vol
:
7.81%
1 Year Pred
:
7.96%
Models
Assets
Analysis on iShares Barclays 10-20 Year
Asy. MEM
- High-Low Range Series
Asy. Power MEM
- High-Low Range Series
MEM
- High-Low Range Series
AGARCH
- Return Series
APARCH
- Return Series
EGARCH
- Return Series
GARCH
- Return Series
GAS-GARCH Student T
- Return Series
GJR-GARCH
- Return Series
Spline-GARCH
- Return Series
Zero Slope Spline-GARCH analysis on Treasuries
10Y Interest Rate Swap
2Y Interest Rate Swap
5Y Interest Rate Swap
Barclays US Agg. Government
iShares Barclays 1-3 Year
iShares Barclays Short
iShares S&P New York AMT-Free Municipal
Documentation
Volatility Analysis
Zero Slope Spline-GARCH