V-Lab
TLT Percentage Price Volatility Index AGARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
68.08%
decreased by 3.54%
1 Week
71.72%
increased by 0.10%
1 Month
80.77%
increased by 9.15%
Analysis last updated: Friday, September 4, 2026 at 11:34 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2004 to Aug 28, 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 | 1.8709 | 3.43*** |
| αARCH | 0.1397 | 5.97*** |
| βGARCH | 0.7983 | 24.18*** |
| γleverage | -1.5729 | -2.58*** |
0.938
Persistence11d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.8709 | 3.43*** |
α ARCH Response to squared shocks | 0.1397 | 5.97*** |
β GARCH Volatility persistence | 0.7983 | 24.18*** |
γ leverage Additional response to negative shocks | -1.5729 | -2.58*** |
Persistence:
0.938
Half-life:
11 days
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