V-Lab
2Y US Treasury CMT 2 Year GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
21.18%
decreased by 0.22%
1 Week
21.22%
decreased by 0.18%
1 Month
21.39%
decreased by 0.01%
Analysis last updated: Saturday, July 25, 2026 at 03:01 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 318 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.93 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 | 3.3892 | 10.07*** |
α ARCH Response to squared shocks | 0.0542 | 69.78*** |
β GARCH Volatility persistence | 0.9978 | 4,577.16*** |
ν DF Student-t tail thickness | 5.9349 | 25.96*** |
Persistence:
0.998
Half-life:
318 days
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