iShares 0-1 Year Treasury Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
0.33%
decreased by 0.02%
1 Week
0.33%
decreased by 0.02%
1 Month
0.34%
decreased by 0.01%
Analysis last updated: Monday, October 19, 2026 at 09:30 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Oct 16, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.45 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.999, shock half-life ~693 daysv = 7.45 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0009 | 1.59 |
| αARCH | 0.0588 | 14.03*** |
| βGARCH | 0.9990 | 1,632.35*** |
| νDF | 7.4453 | 2.67*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0009 | 1.59 |
α ARCH Response to squared shocks | 0.0588 | 14.03*** |
β GARCH Volatility persistence | 0.9990 | 1,632.35*** |
ν DF Student-t tail thickness | 7.4453 | 2.67*** |
Persistence:
0.999
Half-life:
693 days
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