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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 31 | ||
| 0.7197 | 7,197,260.00 | |
| 0.0303 | 302,740.00 | |
| 0.5000 | 5,000,000.00 | |
| 0.0704 | 79.60 | |
| 0.9596 | 239,909.25 | |
| 0.0000 | 0.02 |
Estimation Period:
Feb 28, 1994 to Apr 4, 2025
Feb 28, 1994 to Apr 4, 2025
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