V-Lab: TLT Percentage Price Volatility Index GJR-GARCH Volatility Analysis

V-Lab

TLT Percentage Price Volatility Index GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 30th, 2025:56.49% (-1.27%)

Analysis last updated: Monday, June 30, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9553	15.13
$α$	0.1836	16.99
$β$	0.8090	95.47
$γ$	-0.0985	-6.58

Estimation Period:
Jan 2, 2004 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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