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, May 12th, 2025:2.10% (-0.06%)

Analysis last updated: Friday, May 9, 2025 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1187	4.46
$α$	0.0738	6.63
$β$	0.9096	76.10
$γ_{1}$	-0.1176	-0.97
$γ_{2}$	0.2785	1.59
$γ_{3}$	-0.5302	-4.57
$γ_{4}$	0.7987	5.80
$γ_{5}$	-0.6328	-4.41
$γ_{6}$	0.1502	1.07
$γ_{7}$	0.3143	2.54
$γ_{8}$	-0.4323	-5.12

Estimation Period:
Jul 26, 2002 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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