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

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ICE BofAML U.S. Bond Market 6 Month Option Volatility Estimate Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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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{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	1.2359	2.93***
αARCH	0.0864	4.77***
βGARCH	0.9010	47.19***

γ₁	-0.9467	-1.72*
γ₂	1.9891	2.34**
γ₃	-2.0281	-2.96***
γ₄	1.5478	2.29**
γ₅	-0.9293	-1.31
γ₆	0.9511	1.13
γ₇	-2.4105	-0.95
γ₈	5.2911	0.90
γ₉	-6.3771	-1.04
γ₁₀	3.8430	1.40

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2359	2.93***
α ARCH Response to squared shocks	0.0864	4.77***
β GARCH Volatility persistence	0.9010	47.19***

γ₁	-0.9467	-1.72*
γ₂	1.9891	2.34**
γ₃	-2.0281	-2.96***
γ₄	1.5478	2.29**
γ₅	-0.9293	-1.31
γ₆	0.9511	1.13
γ₇	-2.4105	-0.95
γ₈	5.2911	0.90
γ₉	-6.3771	-1.04
γ₁₀	3.8430	1.40

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