V-Lab
20Y US Treasury CMT 20 Year GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
12.18%
decreased by 0.19%
1 Week
12.25%
decreased by 0.12%
1 Month
12.51%
increased by 0.14%
Analysis last updated: Saturday, July 25, 2026 at 03:00 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Oct 1, 1993 to Jul 24, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 236 trading days (~0.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.72 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7114 | 8.38*** |
α ARCH Response to squared shocks | 0.0411 | 44.60*** |
β GARCH Volatility persistence | 0.9971 | 2,362.71*** |
ν DF Student-t tail thickness | 10.7241 | 4.91*** |
Persistence:
0.997
Half-life:
236 days
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