V-Lab
30Y US Treasury 30 Year Zero Coupon Yield Continuously Compounded GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
11.56%
decreased by 0.10%
1 Week
11.68%
increased by 0.02%
1 Month
12.16%
increased by 0.50%
Analysis last updated: Wednesday, July 22, 2026 at 03:09 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 186 trading days (~0.7 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 59% more than positive returns
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0078 | 14.20*** |
α ARCH Response to squared shocks | 0.0404 | 18.38*** |
β GARCH Volatility persistence | 0.9439 | 683.51*** |
γ leverage Additional response to negative shocks | 0.0239 | 5.13*** |
Persistence:
0.996
Half-life:
186 days
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