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

V-Lab

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V-Lab

CBOE 20+ Year Treasury Bond ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 20th, 2024:116.56% (+52.95%)

Analysis last updated: Friday, December 20, 2024 at 12:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8751	7.28
$α$	0.1606	5.14
$β$	0.7208	14.87
$γ_{1}$	-0.0856	-2.02
$γ_{2}$	0.1071	1.65
$γ_{3}$	-0.0237	-0.51
$γ_{4}$	0.0632	1.40
$γ_{5}$	-0.1414	-3.07
$γ_{6}$	0.1095	3.12

Estimation Period:
Jan 2, 2004 to Dec 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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