V-Lab
iShares 0-1 Year Treasury Bond ETF APARCH Volatility Analysis
Volatility prediction for Monday, August 10th, 2026
1 Day
0.45%
1 Week
0.45%
1 Month
0.44%
Analysis last updated: Friday, August 7, 2026 at 10:08 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Aug 7, 2026Model Insight
With persistence 0.993, volatility shocks have a half-life of 97 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. The volatility power δ = 1.58 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
Inverse leverage: Positive returns increase volatility 91% more than negative returns
APARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 3.33*** |
α ARCH Response to squared shocks | 0.0664 | 25.40*** |
β GARCH Volatility persistence | 0.9336 | 425.92*** |
γ leverage Additional response to negative shocks | -0.2021 | -8.45*** |
δ power Transformation power | 1.5758 | 21.44*** |
Persistence:
0.993
Half-life:
97 days
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