V-Lab
Schwab Short-Term U.S. Treasury ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
1.44%
increased by 0.01%
1 Week
1.44%
increased by 0.01%
1 Month
1.43%
decreased by 0.00%
Analysis last updated: Friday, July 24, 2026 at 10:44 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 5, 2010 to Jul 24, 2026Model Insight
With persistence 0.998, volatility shocks have a half-life of 333 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.93 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 | 0.0064 | 7.80*** |
α ARCH Response to squared shocks | 0.0560 | 51.68*** |
β GARCH Volatility persistence | 0.9979 | 4,455.00*** |
ν DF Student-t tail thickness | 6.9265 | 10.53*** |
Persistence:
0.998
Half-life:
333 days
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