iShares 10-20 Year Treasury Bond ETF Asy. MEM Volatility Analysis
Volatility prediction for Monday, July 20th, 2026
1 Day
6.77%
decreased by 0.06%
1 Week
6.93%
increased by 0.10%
1 Month
7.50%
increased by 0.67%
Analysis last updated: Friday, July 17, 2026 at 11:05 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 14% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
μ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0065 | 16.58*** |
α ARCH Response to squared shocks | 0.1440 | 26.37*** |
β GARCH Volatility persistence | 0.8531 | 251.86*** |
γ leverage Additional response to negative shocks | -0.0176 | -2.24** |
Persistence:
0.988
Half-life:
59 days
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