V-Lab
3Y US Treasury CMT 3 Year GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
20.46%
decreased by 0.18%
1 Week
20.50%
decreased by 0.14%
1 Month
20.64%
decreased by 0.00%
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 323 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 = 6.50 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 | 3.0713 | 9.63*** |
α ARCH Response to squared shocks | 0.0519 | 66.16*** |
β GARCH Volatility persistence | 0.9979 | 4,282.65*** |
ν DF Student-t tail thickness | 6.5013 | 21.00*** |
Persistence:
0.998
Half-life:
323 days
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