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Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.2305	21.89***
β GARCH Volatility persistence	0.7327	48.33***
γ leverage Additional response to negative shocks	-0.2238	-22.79***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.11
λ₂ forecast adj. Forecast performance sensitivity	0.2049	0.11
λ₃ tau persistence Long-term factor persistence	0.4813	0.10

V-Lab

Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index Analyses