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, September 19th, 2025:60.25% (-0.78%)

Analysis last updated: Friday, September 19, 2025 at 11:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$m$	76
$α$	0.2427	19.69
$β$	0.7483	43.34
$γ$	-0.2427	-25.65
$λ_{1}$	1.5115	0.99
$λ_{2}$	0.0329	0.79
$λ_{3}$	0.9179	11.26

Estimation Period:
Jan 2, 2018 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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