V-Lab: TLT Percentage Price Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

TLT Percentage Price Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 8th, 2025:67.83% (+0.88%)

Analysis last updated: Thursday, May 8, 2025 at 11:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8792	7.40
$α$	0.1627	5.24
$β$	0.7144	14.79
$γ_{1}$	-0.0806	-2.02
$γ_{2}$	0.0992	1.63
$γ_{3}$	-0.0149	-0.34
$γ_{4}$	0.0489	1.18
$γ_{5}$	-0.1304	-3.16
$γ_{6}$	0.1082	3.53

Estimation Period:
Jan 2, 2004 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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