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, September 22nd, 2025:1.80% (-0.04%)

Analysis last updated: Friday, September 19, 2025 at 10:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1141	4.54
$α$	0.0715	6.60
$β$	0.9129	79.81
$γ_{1}$	-0.0992	-0.84
$γ_{2}$	0.2345	1.36
$γ_{3}$	-0.4707	-4.25
$γ_{4}$	0.7484	5.83
$γ_{5}$	-0.6332	-4.64
$γ_{6}$	0.2014	1.40
$γ_{7}$	0.2553	1.89
$γ_{8}$	-0.4029	-4.34

Estimation Period:
Jul 26, 2002 to Sep 19, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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