2Y US Treasury 2 Year Zero Coupon Yield Continuously Compounded GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, November 2nd, 2026
1 Day
19.77%
1 Week
19.85%
1 Month
20.17%
Analysis last updated: Wednesday, November 4, 2026 at 04:05 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 30, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Leverage: Negative returns increase volatility 167% more than positive returns
GJR-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0064 | 1.60 |
| αARCH | 0.0266 | 4.53*** |
| βGARCH | 0.9513 | 177.58*** |
| γleverage | 0.0443 | 3.46*** |
1.000
Persistence-
Half-lifeGJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0064 | 1.60 |
α ARCH Response to squared shocks | 0.0266 | 4.53*** |
β GARCH Volatility persistence | 0.9513 | 177.58*** |
γ leverage Additional response to negative shocks | 0.0443 | 3.46*** |
Persistence:
1.000
Half-life:
-
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