V-Lab
iShares 7-10 Year Treasury Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, August 24th, 2026
1 Day
5.21%
decreased by 0.07%
1 Week
5.23%
decreased by 0.05%
1 Month
5.32%
increased by 0.04%
Analysis last updated: Friday, August 21, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 30, 2002 to Aug 21, 2026Model Insight
With persistence 0.996, volatility shocks have a half-life of 164 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 12.15 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 | 0.2168 | 6.36*** |
α ARCH Response to squared shocks | 0.0447 | 30.92*** |
β GARCH Volatility persistence | 0.9958 | 1,311.95*** |
ν DF Student-t tail thickness | 12.1505 | 3.09*** |
Persistence:
0.996
Half-life:
164 days
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