V-Lab
Schwab Short-Term U.S. Treasury ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
1.39%
increased by 0.01%
1 Week
1.41%
increased by 0.03%
1 Month
1.47%
increased by 0.09%
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
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 8 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8280 | 6.21*** |
α ARCH Response to squared shocks | 0.0772 | 4.65*** |
β GARCH Volatility persistence | 0.8410 | 26.71*** |
Spline Coefficients
K=10
| γ1 | -0.5641 | -2.34** |
| γ2 | 1.3021 | 3.67*** |
| γ3 | -0.9770 | -3.94*** |
| γ4 | -0.0956 | -0.38 |
| γ5 | 0.9692 | 3.70*** |
| γ6 | -1.6781 | -6.33*** |
| γ7 | 2.5516 | 10.33*** |
| γ8 | -2.5321 | -9.21*** |
| γ9 | 1.1216 | 4.07*** |
| γ10 | -0.0168 | -0.09 |
Persistence:
0.918
Half-life:
8 days
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