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

V-Lab

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V-Lab

Cboe 20+ Year Treasury Bond ETF Volatility Basis Point Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, March 11th, 2025:79.25% (+14.25%)

Analysis last updated: Tuesday, March 11, 2025 at 11:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0890	5.55
$α$	0.1281	2.91
$β$	0.7281	10.96
$γ_{1}$	0.2308	1.58
$γ_{2}$	-0.4040	-1.79
$γ_{3}$	0.2473	2.10

Estimation Period:
Jan 2, 2018 to Mar 7, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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