V-Lab: iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:13.23% (-0.08%)

Analysis last updated: Tuesday, May 7, 2024 at 10:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6160	6.71
$α$	0.0668	5.55
$β$	0.8863	49.07
$γ_{1}$	-0.1757	-3.64
$γ_{2}$	0.2249	3.01
$γ_{3}$	-0.0657	-1.26
$γ_{4}$	0.0981	2.40
$γ_{5}$	-0.1463	-5.72

Estimation Period:
Jan 11, 2007 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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