V-Lab
3Y US Treasury 3 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, July 20th, 2026
1 Day
18.00%
1 Week
18.08%
1 Month
18.36%
Analysis last updated: Wednesday, July 22, 2026 at 03:06 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
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 190% more than positive returns
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0052 | 4.79*** |
α ARCH Response to squared shocks | 0.0225 | 16.90*** |
β GARCH Volatility persistence | 0.9560 | 851.28*** |
γ leverage Additional response to negative shocks | 0.0429 | 15.05*** |
Persistence:
1.000
Half-life:
-
Other 3Y US Treasury 3 Year Zero Coupon Yield Continuously Compounded Analyses
Other GJR-GARCH Analyses on Government Bonds