V-Lab
6M US Treasury CMT 6 Month GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
13.87%
decreased by 0.79%
1 Week
13.97%
decreased by 0.69%
1 Month
14.34%
decreased by 0.32%
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 0.999, volatility shocks have a half-life of 521 trading days (~2.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.23 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 | 4.7081 | 12.30*** |
α ARCH Response to squared shocks | 0.0773 | 104.20*** |
β GARCH Volatility persistence | 0.9987 | 9,695.83*** |
ν DF Student-t tail thickness | 4.2313 | 74.50*** |
Persistence:
0.999
Half-life:
521 days
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