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 30th, 2025:0.63% (0.00%)

Analysis last updated: Friday, June 27, 2025 at 10:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5058	7.52
$α$	0.0969	6.34
$β$	0.8477	36.44
$γ_{1}$	-0.2056	-2.98
$γ_{2}$	0.3059	2.81
$γ_{3}$	0.0385	0.48
$γ_{4}$	-0.3798	-5.48
$γ_{5}$	0.5536	8.20
$γ_{6}$	-0.4922	-7.81

Estimation Period:
Jan 11, 2007 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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