V-Lab
Bloomberg US Treasury Bond Index Total Return Value Unhedged USD GJR-GARCH Volatility Analysis
Volatility prediction for Friday, August 21st, 2026
1 Day
3.72%
increased by 0.01%
1 Week
3.73%
increased by 0.02%
1 Month
3.77%
increased by 0.06%
Analysis last updated: Friday, August 21, 2026 at 08:19 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Feb 28, 1994 to Apr 4, 2025Model Insight
With persistence 0.995, volatility shocks have a half-life of 139 trading days (~0.6 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Inverse leverage: Positive returns increase volatility 42% more than negative returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0004 | 12.40*** |
α ARCH Response to squared shocks | 0.0430 | 17.52*** |
β GARCH Volatility persistence | 0.9584 | 765.47*** |
γ leverage Additional response to negative shocks | -0.0127 | -3.54*** |
Persistence:
0.995
Half-life:
139 days
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