iShares 10-20 Year Treasury Bond ETF Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 26th, 2026
1 Day
10.48%
decreased by 0.28%
1 Week
10.35%
decreased by 0.41%
1 Month
9.97%
decreased by 0.79%
Analysis last updated: Friday, October 23, 2026 at 11:34 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 11, 2007 to Oct 23, 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
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.5639 | 5.61*** |
| αARCH | 0.0643 | 5.51*** |
| βGARCH | 0.8825 | 48.48*** |
Spline Coefficients
K=7
| γ1 | -0.2622 | -3.11*** |
| γ2 | 0.2995 | 2.50** |
| γ3 | -0.0234 | -0.34 |
| γ4 | -0.0231 | -0.32 |
| γ5 | 0.1429 | 1.80* |
| γ6 | -0.3326 | -5.00*** |
| γ7 | 0.2794 | 6.67*** |
0.947
Persistence13d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5639 | 5.61*** |
α ARCH Response to squared shocks | 0.0643 | 5.51*** |
β GARCH Volatility persistence | 0.8825 | 48.48*** |
Spline Coefficients
K=7
| γ1 | -0.2622 | -3.11*** |
| γ2 | 0.2995 | 2.50** |
| γ3 | -0.0234 | -0.34 |
| γ4 | -0.0231 | -0.32 |
| γ5 | 0.1429 | 1.80* |
| γ6 | -0.3326 | -5.00*** |
| γ7 | 0.2794 | 6.67*** |
Persistence:
0.947
Half-life:
13 days
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