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

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How volatility evolves over time

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{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
ωconst	0.9532	8.05***
αARCH	0.1040	7.10***
βGARCH	0.8714	55.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9532	8.05***
α ARCH Response to squared shocks	0.1040	7.10***
β GARCH Volatility persistence	0.8714	55.64***

V-Lab

Bloomberg EM Govt Inflation-Linked All Maturities Bond Index TR Unhedged USD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Bloomberg EM Govt Inflation-Linked All Maturities Bond Index TR Unhedged USD Analyses