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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, November 22nd, 2024:1.89% (-0.04%)

Analysis last updated: Thursday, November 21, 2024 at 10:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1130	4.37
$α$	0.0760	6.57
$β$	0.9046	69.10
$γ_{1}$	-0.1404	-1.15
$γ_{2}$	0.3336	1.91
$γ_{3}$	-0.6003	-4.98
$γ_{4}$	0.8482	5.84
$γ_{5}$	-0.6139	-4.14
$γ_{6}$	0.0637	0.48
$γ_{7}$	0.4335	3.77
$γ_{8}$	-0.5282	-6.32

Estimation Period:
Jul 26, 2002 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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