ICE BofAML U.S. Bond Market Option Volatility Estimate Index

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CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωlong-run	0.2280	1.83*
αscore	0.0686	5.74***
βpersistence	0.9813	94.49***
νDF	6.7135	1.08

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.2280	1.83*
α score Weight on the scaled score	0.0686	5.74***
β persistence Volatility persistence	0.9813	94.49***
ν DF Student-t tail thickness	6.7135	1.08

V-Lab

Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg EM Local Currency Liquid Government Bond Index TR Unhedged USD Analyses