V-Lab
iShares 10-20 Year Treasury Bond ETF MF2-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, July 27th, 2026
1 Day
2.72%
1 Week
4.41%
1 Month
8.35%
Analysis last updated: Friday, July 24, 2026 at 10:52 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Jul 24, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
MF2-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.7264 | |
β GARCH Volatility persistence | 0.0236 | |
γ leverage Additional response to negative shocks | 0.5000 | |
λ₁ tau intercept Baseline long-term coefficient | 0.1082 | 7.34*** |
λ₂ forecast adj. Forecast performance sensitivity | 0.7292 | 14.14*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
1.000
Half-life:
-
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