V-Lab
Bloomberg US Treasury 20+ Yr Bond Index Total Return Value Unhedged USD MF2-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
11.59%
1 Week
11.46%
1 Month
11.24%
Analysis last updated: Monday, August 24, 2026 at 08:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 1994 to Aug 20, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 99% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.0706 | 13.30*** |
β GARCH Volatility persistence | 0.8036 | 28.23*** |
γ leverage Additional response to negative shocks | -0.0351 | -6.84*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0035 | 1.26 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0409 | 1.78* |
λ₃ tau persistence Long-term factor persistence | 0.9539 | 36.56*** |
Persistence:
0.857
Half-life:
4 days
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