TLT Percentage Price Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
66.97%
increased by 1.12%
1 Week
70.83%
increased by 4.98%
1 Month
80.34%
increased by 14.49%
Analysis last updated: Friday, October 23, 2026 at 11:37 AM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Oct 16, 2026Model Insight
The news-impact curve is shifted (γ = -1.57) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.8894 | 3.43*** |
| αARCH | 0.1404 | 5.97*** |
| βGARCH | 0.7971 | 23.92*** |
| γleverage | -1.5684 | -2.58*** |
0.938
Persistence11d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8894 | 3.43*** |
α ARCH Response to squared shocks | 0.1404 | 5.97*** |
β GARCH Volatility persistence | 0.7971 | 23.92*** |
γ leverage Additional response to negative shocks | -1.5684 | -2.58*** |
Persistence:
0.938
Half-life:
11 days
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