V-Lab
iShares 0-1 Year Treasury Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
0.39%
decreased by 0.02%
1 Week
0.39%
decreased by 0.02%
1 Month
0.40%
decreased by 0.01%
Analysis last updated: Monday, July 27, 2026 at 09:29 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Jul 24, 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 = 4.97 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0009 | 7.16*** |
α ARCH Response to squared shocks | 0.0533 | 61.95*** |
β GARCH Volatility persistence | 0.9990 | 7,568.18*** |
ν DF Student-t tail thickness | 4.9668 | 29.18*** |
Persistence:
0.999
Half-life:
693 days
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