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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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	6.6335	3.09***
αARCH	0.0743	40.67***
βGARCH	0.9990	2,938.24***
νDF	2.3500	401.85***

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.6335	3.09***
α ARCH Response to squared shocks	0.0743	40.67***
β GARCH Volatility persistence	0.9990	2,938.24***
ν DF Student-t tail thickness	2.3500	401.85***

V-Lab

1M US Treasury CMT 1 Month GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other 1M US Treasury CMT 1 Month Analyses