V-Lab
1Y US Treasury 1 Year Zero Coupon Yield Continuously Compounded GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
17.47%
decreased by 0.66%
1 Week
17.52%
decreased by 0.61%
1 Month
17.73%
decreased by 0.40%
Analysis last updated: Wednesday, July 22, 2026 at 06:18 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.997, volatility shocks have a half-life of 275 trading days (~1.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 4.74 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.7228 | 9.50*** |
α ARCH Response to squared shocks | 0.0657 | 84.90*** |
β GARCH Volatility persistence | 0.9975 | 3,896.41*** |
ν DF Student-t tail thickness | 4.7414 | 50.84*** |
Persistence:
0.997
Half-life:
275 days
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