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 Wednesday, April 9th, 2025:2.09% (-0.06%)

Analysis last updated: Tuesday, April 8, 2025 at 09:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1173	4.43
$α$	0.0744	6.62
$β$	0.9085	74.78
$γ_{1}$	-0.1235	-1.02
$γ_{2}$	0.2920	1.67
$γ_{3}$	-0.5472	-4.67
$γ_{4}$	0.8124	5.82
$γ_{5}$	-0.6324	-4.36
$γ_{6}$	0.1356	0.98
$γ_{7}$	0.3337	2.75
$γ_{8}$	-0.4459	-5.34

Estimation Period:
Jul 26, 2002 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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