V-Lab: Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index GJR-GARCH Volatility Analysis

V-Lab

Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, May 30th, 2025:83.32% (-4.42%)

Analysis last updated: Friday, May 30, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	3.8182	10.14
$α$	0.2008	7.68
$β$	0.7768	59.68
$γ$	-0.2008	-8.40

Estimation Period:
Jan 2, 2018 to May 23, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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