The study looked at whether bonds can help predict volatility in the U.S. Treasury market. They used real data to measure how much bond yields change over time. The results showed that bond yields don't fully predict volatility, meaning certain models can't accurately explain how yields change. This suggests that the bond market doesn't cover all types of risk, and just investing in Treasury bonds might not protect against volatility. The study suggests using real data on yield volatility to improve models in the future.