V-Lab
iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 26th, 2026
1 Day
9.87%
increased by 0.33%
1 Week
9.84%
increased by 0.30%
1 Month
9.78%
increased by 0.24%
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 model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 13 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5670 | 5.49*** |
α ARCH Response to squared shocks | 0.0650 | 5.61*** |
β GARCH Volatility persistence | 0.8834 | 49.45*** |
Spline Coefficients
K=7
| γ1 | -0.2624 | -2.98*** |
| γ2 | 0.2953 | 2.37** |
| γ3 | -0.0117 | -0.16 |
| γ4 | -0.0431 | -0.56 |
| γ5 | 0.1700 | 2.05** |
| γ6 | -0.3520 | -5.15*** |
| γ7 | 0.2826 | 6.73*** |
Persistence:
0.948
Half-life:
13 days
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