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 Friday, May 30th, 2025:80.19% (-5.08%)

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
$m$	76
$α$	0.2406	18.64
$β$	0.7462	39.68
$γ$	-0.2406	-24.54
$λ_{1}$	2.0396	0.76
$λ_{2}$	0.0325	0.59
$λ_{3}$	0.9039	7.07

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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