V-Lab: iShares Short Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

iShares Short Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:0.46% (-0.01%)

Analysis last updated: Saturday, May 31, 2025 at 02:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5039	7.14
$α$	0.0936	6.37
$β$	0.8599	41.98
$γ_{1}$	-0.2190	-2.93
$γ_{2}$	0.3228	2.72
$γ_{3}$	0.0343	0.39
$γ_{4}$	-0.3742	-5.07
$γ_{5}$	0.5269	8.27
$γ_{6}$	-0.4517	-8.34

Estimation Period:
Jan 11, 2007 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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