V-Lab
30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
11.29%
decreased by 0.12%
1 Week
11.39%
decreased by 0.02%
1 Month
11.75%
increased by 0.34%
Analysis last updated: Wednesday, July 22, 2026 at 03:10 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 0.996, volatility shocks have a half-life of 167 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.66 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 | 1.5488 | 6.89*** |
α ARCH Response to squared shocks | 0.0480 | 53.87*** |
β GARCH Volatility persistence | 0.9959 | 1,497.54*** |
ν DF Student-t tail thickness | 7.6570 | 8.23*** |
Persistence:
0.996
Half-life:
167 days
Other 30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded Analyses
Other GAS-GARCH Student T Analyses on Government Bonds