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{name} Model Equation

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Param	Value	t-stat
ωconst	1.1622	2.76***
αARCH	0.0853	2.40**
βGARCH	0.9147	25.70***

γ₁	-0.2786	-1.73*
γ₂	0.3559	1.59
γ₃	-0.1061	-0.96
γ₄	0.1755	2.40**
γ₅	-0.3254	-3.54***
γ₆	0.1654	1.20
γ₇	0.1134	0.86
γ₈	-0.1329	-1.83*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1622	2.76***
α ARCH Response to squared shocks	0.0853	2.40**
β GARCH Volatility persistence	0.9147	25.70***

γ₁	-0.2786	-1.73*
γ₂	0.3559	1.59
γ₃	-0.1061	-0.96
γ₄	0.1755	2.40**
γ₅	-0.3254	-3.54***
γ₆	0.1654	1.20
γ₇	0.1134	0.86
γ₈	-0.1329	-1.83*

V-Lab

1Y US Treasury 1 Year Zero Coupon Yield Continuously Compounded Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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