V-Lab: iShares 0-1 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

iShares 0-1 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 15th, 2025:0.80% (-0.04%)

Analysis last updated: Friday, December 12, 2025 at 11:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3168	6.33
$α$	0.0970	5.40
$β$	0.8091	23.71
$γ_{1}$	-0.4127	-2.20
$γ_{2}$	0.4815	1.87
$γ_{3}$	-0.1429	-0.90
$γ_{4}$	0.4273	2.64
$γ_{5}$	-0.4801	-3.20
$γ_{6}$	0.1562	0.95
$γ_{7}$	-0.3953	-2.12
$γ_{8}$	1.0257	5.88
$γ_{9}$	-0.9052	-4.09
$γ_{10}$	0.1272	0.56

Estimation Period:
Jan 11, 2007 to Dec 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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