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

V-Lab

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

Volatility Prediction for Monday, June 30th, 2025:62.71% (-0.29%)

Analysis last updated: Monday, June 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.2436	19.15
$β$	0.7459	41.42
$γ$	-0.2436	-25.27
$λ_{1}$	1.6578	0.88
$λ_{2}$	0.0297	0.68
$λ_{3}$	0.9178	9.80

Estimation Period:
Jan 2, 2018 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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