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

V-Lab

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V-Lab

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

Volatility Prediction for Monday, April 29th, 2024:2.26% (-0.06%)

Analysis last updated: Friday, April 26, 2024 at 09:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9327	3.43
$α$	0.0733	6.31
$β$	0.9041	64.63
$γ_{1}$	-0.4014	-2.25
$γ_{2}$	0.8104	3.02
$γ_{3}$	-0.8833	-3.93
$γ_{4}$	0.6084	2.83
$γ_{5}$	0.1586	0.95
$γ_{6}$	-0.5373	-3.51
$γ_{7}$	0.1508	0.87
$γ_{8}$	0.5483	3.40
$γ_{9}$	-0.7565	-6.34

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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