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V-Lab

Bloomberg US Treasury 20+ Yr Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis

High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful

Volatility prediction for Friday, May 22nd, 2026

1 Day

11.31%

decreased by 4.92%

1 Week

76.87%

increased by 60.64%

1 Month

865,818.43%

increased by 865,802.20%

Analysis last updated: Saturday, May 23, 2026 at 01:56 AM UTC

Date Range:

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to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

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graph of Bloomberg US Treasury 20+ Yr Bond Index Total Return Value Unhedged USD MF2-GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time
paramt-stat
m31
α0.71977,197,260.00
β0.0303302,740.00
γ0.50005,000,000.00
λ10.070479.60
λ20.9596239,909.25
λ30.00000.02
Estimation Period:
Feb 28, 1994 to Apr 4, 2025