V-Lab
iShares 10-20 Year Treasury Bond ETF MF2-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
9.70%
1 Week
9.49%
1 Month
9.16%
Analysis last updated: Tuesday, August 25, 2026 at 09:45 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Aug 21, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 44% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 46 | |
α ARCH Response to squared shocks | 0.0893 | 17.40*** |
β GARCH Volatility persistence | 0.7726 | 31.75*** |
γ leverage Additional response to negative shocks | -0.0274 | -5.17*** |
λ₁ tau intercept Baseline long-term coefficient | 0.0053 | 1.17 |
λ₂ forecast adj. Forecast performance sensitivity | 0.1366 | 1.29 |
λ₃ tau persistence Long-term factor persistence | 0.8512 | 7.34*** |
Persistence:
0.848
Half-life:
4 days
Other iShares 10-20 Year Treasury Bond ETF Analyses
Other MF2-GARCH Analyses on ETFs