V-Lab
iShares 1-3 Year Treasury Bond ETF Asy. Power MEM Volatility Analysis
Volatility prediction for Monday, September 14th, 2026
1 Day
1.37%
1 Week
1.28%
1 Month
1.01%
Analysis last updated: Friday, September 11, 2026 at 10:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 26, 2002 to Sep 11, 2026Model Insight
Volatility shocks decay with a half-life of 22 trading days, meaning a shock loses half its impact after approximately 22 days. The volatility power δ = 0.50 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APMEM Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0038 | 1.31 |
| αARCH | 0.1759 | 11.83*** |
| βGARCH | 0.8241 | 55.14*** |
| γleverage | -0.0332 | -0.79 |
| δpower | 0.5000 | 2.43** |
0.969
Persistence22d
Half-lifeAPMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0038 | 1.31 |
α ARCH Response to squared shocks | 0.1759 | 11.83*** |
β GARCH Volatility persistence | 0.8241 | 55.14*** |
γ leverage Additional response to negative shocks | -0.0332 | -0.79 |
δ power Transformation power | 0.5000 | 2.43** |
Persistence:
0.969
Half-life:
22 days
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