V-Lab
2Y US Treasury 2 Year Zero Coupon Yield Continuously Compounded GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
18.68%
decreased by 0.73%
1 Week
18.73%
decreased by 0.68%
1 Month
18.93%
decreased by 0.48%
Analysis last updated: Wednesday, July 22, 2026 at 03:07 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 0.998, volatility shocks have a half-life of 317 trading days (~1.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 5.46 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 | 3.1282 | 9.76*** |
α ARCH Response to squared shocks | 0.0567 | 76.44*** |
β GARCH Volatility persistence | 0.9978 | 4,376.38*** |
ν DF Student-t tail thickness | 5.4593 | 35.87*** |
Persistence:
0.998
Half-life:
317 days
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