V-Lab: CBOE 20+ Year Treasury Bond ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CBOE 20+ Year Treasury Bond ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:79.75% (-1.64%)

Analysis last updated: Wednesday, May 1, 2024 at 11:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0904	7.70
$α$	0.1505	4.46
$β$	0.7730	14.69
$γ_{1}$	-0.0129	-1.22
$γ_{2}$	0.0333	2.07
$γ_{3}$	-0.0307	-3.40

Estimation Period:
Jan 2, 2004 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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