V-Lab
CBOE 20+ Year Treasury Bond ETF Volatility Index GJR-GARCH Volatility Analysis
Volatility Prediction for Friday, October 4th, 2024:73.79% (+4.27%)
Analysis last updated: Friday, October 4, 2024 at 11:32 AM UTC
Parameter Estimates
| param | t-stat | |
|---|---|---|
| 1.9217 | 15.11 | |
| 0.1858 | 16.92 | |
| 0.8101 | 96.85 | |
| -0.0998 | -6.51 |
Estimation Period:
Jan 2, 2004 to Sep 27, 2024
Jan 2, 2004 to Sep 27, 2024
News Impact Curve
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