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

V-Lab

| |

V-Lab

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

Volatility Prediction for Tuesday, December 24th, 2024:1.50% (0.00%)

Analysis last updated: Monday, December 23, 2024 at 10:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1151	4.38
$α$	0.0757	6.59
$β$	0.9057	70.66
$γ_{1}$	-0.1365	-1.12
$γ_{2}$	0.3232	1.85
$γ_{3}$	-0.5862	-4.88
$γ_{4}$	0.8387	5.81
$γ_{5}$	-0.6199	-4.19
$γ_{6}$	0.0862	0.64
$γ_{7}$	0.3975	3.39
$γ_{8}$	-0.4948	-5.88

Estimation Period:
Jul 26, 2002 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares 1-3 Year Treasury Bond ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH