V-Lab
iShares 1-3 Year Treasury Bond ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 28th, 2026
1 Day
1.48%
decreased by 0.06%
1 Week
1.48%
decreased by 0.06%
1 Month
1.48%
decreased by 0.06%
Analysis last updated: Monday, July 27, 2026 at 09:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jul 26, 2002 to Jul 24, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 693 trading days (~2.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 6.48 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0125 | 4.47*** |
α ARCH Response to squared shocks | 0.0573 | 64.01*** |
β GARCH Volatility persistence | 0.9990 | 4,520.36*** |
ν DF Student-t tail thickness | 6.4817 | 19.11*** |
Persistence:
0.999
Half-life:
693 days
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