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 Monday, June 30th, 2025:1.88% (-0.05%)

Analysis last updated: Friday, June 27, 2025 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1198	4.50
$α$	0.0730	6.63
$β$	0.9108	77.52
$γ_{1}$	-0.1096	-0.91
$γ_{2}$	0.2611	1.50
$γ_{3}$	-0.5094	-4.46
$γ_{4}$	0.7820	5.81
$γ_{5}$	-0.6335	-4.48
$γ_{6}$	0.1681	1.19
$γ_{7}$	0.2918	2.30
$γ_{8}$	-0.4178	-4.86

Estimation Period:
Jul 26, 2002 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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