V-Lab: iShares 1-3 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

iShares 1-3 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 18th, 2025:1.71% (-0.04%)

Analysis last updated: Thursday, July 17, 2025 at 09:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1224	4.51
$α$	0.0733	6.65
$β$	0.9108	77.77
$γ_{1}$	-0.1072	-0.89
$γ_{2}$	0.2546	1.46
$γ_{3}$	-0.5001	-4.40
$γ_{4}$	0.7748	5.80
$γ_{5}$	-0.6348	-4.51
$γ_{6}$	0.1780	1.25
$γ_{7}$	0.2779	2.15
$γ_{8}$	-0.4082	-4.65

Estimation Period:
Jul 26, 2002 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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