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 Tuesday, December 24th, 2024:12.58% (-0.10%)

Analysis last updated: Monday, December 23, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7546	7.60
$α$	0.0622	6.45
$β$	0.9103	68.96
$γ_{1}$	-0.0569	-4.49
$γ_{2}$	0.1052	5.28
$γ_{3}$	-0.0711	-5.93

Estimation Period:
Jan 11, 2007 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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