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 Wednesday, July 30th, 2025:64.38% (-0.83%)

Analysis last updated: Wednesday, July 30, 2025 at 11:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.2424	19.24
$β$	0.7447	41.14
$γ$	-0.2424	-25.18
$λ_{1}$	1.6225	0.88
$λ_{2}$	0.0293	0.67
$λ_{3}$	0.9190	9.93

Estimation Period:
Jan 2, 2018 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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