V-Lab
6M US Treasury CMT 6 Month GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Thursday, September 24th, 2026
1 Day
13.12%
1 Week
13.33%
1 Month
14.18%
Analysis last updated: Thursday, September 24, 2026 at 03:00 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 1, 1990 to Sep 18, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 123% more than positive returns
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0115 | 3.52*** |
| αARCH | 0.0626 | 6.32*** |
| βGARCH | 0.8990 | 96.47*** |
| γleverage | 0.0768 | 3.20*** |
1.000
Persistence-
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0115 | 3.52*** |
α ARCH Response to squared shocks | 0.0626 | 6.32*** |
β GARCH Volatility persistence | 0.8990 | 96.47*** |
γ leverage Additional response to negative shocks | 0.0768 | 3.20*** |
Persistence:
1.000
Half-life:
-
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