V-Lab: iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 6th, 2024:12.21% (-0.27%)

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
$ω$	0.7554	7.50
$α$	0.0625	6.47
$β$	0.9104	69.18
$γ_{1}$	-0.0582	-4.44
$γ_{2}$	0.1072	5.18
$γ_{3}$	-0.0717	-5.74

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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