V-Lab
Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Friday, July 31st, 2026):
1 Day
140.26%
1 Week
130.50%
1 Month
109.52%
Analysis last updated: Friday, July 31, 2026 at 11:36 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2018 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 3.8567 | 10.91*** |
α ARCH Response to squared shocks | 0.1926 | 8.47*** |
β GARCH Volatility persistence | 0.7781 | 62.48*** |
γ leverage Additional response to negative shocks | -0.1926 | -9.14*** |
Persistence:
0.874
Half-life:
5 days
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