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

V-Lab

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V-Lab

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

Volatility Prediction for Wednesday, November 6th, 2024:11.36% (-0.34%)

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
$ω$	0.6125	7.09
$α$	0.0669	5.48
$β$	0.8821	46.72
$γ_{1}$	-0.1684	-3.94
$γ_{2}$	0.2178	3.26
$γ_{3}$	-0.0683	-1.38
$γ_{4}$	0.1213	2.71
$γ_{5}$	-0.2757	-4.90

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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