V-Lab
Schwab Short-Term U.S. Treasury ETF GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 14th, 2026
1 Day
1.57%
decreased by 0.05%
1 Week
1.58%
decreased by 0.04%
1 Month
1.59%
decreased by 0.03%
Analysis last updated: Friday, September 11, 2026 at 11:50 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Aug 5, 2010 to Sep 11, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
GJR-GARCH Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 2.14** |
| αARCH | 0.0626 | 4.28*** |
| βGARCH | 0.9349 | 117.72*** |
| γleverage | 0.0051 | 0.20 |
1.000
Persistence-
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 2.14** |
α ARCH Response to squared shocks | 0.0626 | 4.28*** |
β GARCH Volatility persistence | 0.9349 | 117.72*** |
γ leverage Additional response to negative shocks | 0.0051 | 0.20 |
Persistence:
1.000
Half-life:
-
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