V-Lab
Schwab Short-Term U.S. Treasury ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
1.73%
decreased by 0.09%
1 Week
1.69%
decreased by 0.13%
1 Month
1.61%
decreased by 0.21%
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
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 7 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8197 | 6.60*** |
| αARCH | 0.0774 | 4.40*** |
| βGARCH | 0.8246 | 21.93*** |
Spline Coefficients
K=10
| γ1 | -0.5561 | -2.48** |
| γ2 | 1.2963 | 3.94*** |
| γ3 | -1.0025 | -4.39*** |
| γ4 | -0.0413 | -0.18 |
| γ5 | 0.9187 | 3.78*** |
| γ6 | -1.6422 | -6.64*** |
| γ7 | 2.5393 | 10.93*** |
| γ8 | -2.6042 | -10.51*** |
| γ9 | 1.2627 | 5.01*** |
| γ10 | -0.1114 | -0.64 |
0.902
Persistence7d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8197 | 6.60*** |
α ARCH Response to squared shocks | 0.0774 | 4.40*** |
β GARCH Volatility persistence | 0.8246 | 21.93*** |
Spline Coefficients
K=10
| γ1 | -0.5561 | -2.48** |
| γ2 | 1.2963 | 3.94*** |
| γ3 | -1.0025 | -4.39*** |
| γ4 | -0.0413 | -0.18 |
| γ5 | 0.9187 | 3.78*** |
| γ6 | -1.6422 | -6.64*** |
| γ7 | 2.5393 | 10.93*** |
| γ8 | -2.6042 | -10.51*** |
| γ9 | 1.2627 | 5.01*** |
| γ10 | -0.1114 | -0.64 |
Persistence:
0.902
Half-life:
7 days
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