V-Lab
iShares 0-1 Year Treasury Bond ETF MF2-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
0.85%
1 Week
0.92%
1 Month
1.01%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 59% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 66 | |
α ARCH Response to squared shocks | 0.1338 | 12.90*** |
β GARCH Volatility persistence | 0.7121 | 54.27*** |
γ leverage Additional response to negative shocks | -0.0497 | -3.09*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0000 | 1.00 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1338 | 6.90*** |
λ₃ tau persistence Long-term factor persistence | 0.8662 | 33.50*** |
Persistence:
0.821
Half-life:
4 days
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