V-Lab: iShares 10-20 Year Treasury Bond ETF GAS-GARCH Student T Volatility Analysis

V-Lab

| |

V-Lab

iShares 10-20 Year Treasury Bond ETF GAS-GARCH Student T Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:10.70% (-0.28%)

Analysis last updated: Tuesday, November 5, 2024 at 11:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3744	11.35
$α$	0.0566	27.51
$β$	0.9922	1127.52
$ν$	14	2.63

Estimation Period:
Jan 11, 2007 to Nov 1, 2024

Other iShares 10-20 Year Treasury Bond ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
MF2-GARCH