V-Lab
30Y US Treasury CMT 30 Year GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
10.61%
decreased by 0.24%
1 Week
10.68%
decreased by 0.17%
1 Month
10.92%
increased by 0.07%
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 0.997, volatility shocks have a half-life of 241 trading days (~1.0 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 10.06 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 | 1.3670 | 7.62*** |
α ARCH Response to squared shocks | 0.0419 | 49.82*** |
β GARCH Volatility persistence | 0.9971 | 2,144.35*** |
ν DF Student-t tail thickness | 10.0632 | 5.26*** |
Persistence:
0.997
Half-life:
241 days
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