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

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V-Lab

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

Volatility Prediction for Tuesday, November 5th, 2024:1.80% (-0.01%)

Analysis last updated: Monday, November 4, 2024 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1072	4.37
$α$	0.0753	6.50
$β$	0.9049	68.72
$γ_{1}$	-0.1430	-1.18
$γ_{2}$	0.3407	1.96
$γ_{3}$	-0.6098	-5.03
$γ_{4}$	0.8533	5.84
$γ_{5}$	-0.6072	-4.09
$γ_{6}$	0.0441	0.33
$γ_{7}$	0.4653	4.06
$γ_{8}$	-0.5566	-6.62

Estimation Period:
Jul 26, 2002 to Nov 1, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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